Affiliation:
1. Department of Mathematics, College of Science, Qassim University, P. O. Box 6644, Buraydah 51452, Saudi Arabia
Abstract
A general integer-valued time-series model with a conditional variance proportional to the conditional mean is proposed. Specifically, the conditional distribution is a Poisson mixture with a dependent mixing sequence, which results in a negative binomial distribution with a linear conditional variance-to-mean relationship. In addition, the conditional mean is specified as a general parametric function of past observations. We first propose stationarity, ergodicity, and finite moment conditions for the model. Furthermore, the parameters are estimated using the Poisson quasi-maximum likelihood estimate, whose asymptotic properties are studied under weak conditions. Illustrations of the proposed methodology on simulated and actual time series of counts are given.
Publisher
World Scientific Pub Co Pte Ltd
Subject
Applied Mathematics,Geometry and Topology,Modeling and Simulation
Cited by
1 articles.
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