Statisticalinferencefordiscrete-valuedtimeserieshasnotbeen developed like traditional methods for time series generated by continuous random variables. Some relevant models exist, but the lack of a homogenous framework raises some critical issues. For instance, it is not trivial to ex- plore whether models are nested and it is quite arduous to derive stochastic properties which simultaneously hold across different specifications. In this paper, inference for a general class of first order observation-driven mod- els for discrete-valued processes is developed. Stochastic properties such as stationarity and ergodicity are derived under easy-to-check conditions, which can be directly applied to all the models encompassed in the class and for every distribution which satisfies mild moment conditions. Consis- tency and asymptotic normality of quasi-maximum likelihood estimators are established, with the focus on the exponential family. Finite sample properties and the use of information criteria for model selection are inves- tigated throughout Monte Carlo studies. An empirical application to count data is discussed, concerning a test-bed time series on the spread of an infection.

Observation-driven models for discrete-valued time series

Armillotta, Mirko
Primo
;
Luati, Alessandra
Secondo
;
Lupparelli, Monia
Ultimo
2022

Abstract

Statisticalinferencefordiscrete-valuedtimeserieshasnotbeen developed like traditional methods for time series generated by continuous random variables. Some relevant models exist, but the lack of a homogenous framework raises some critical issues. For instance, it is not trivial to ex- plore whether models are nested and it is quite arduous to derive stochastic properties which simultaneously hold across different specifications. In this paper, inference for a general class of first order observation-driven mod- els for discrete-valued processes is developed. Stochastic properties such as stationarity and ergodicity are derived under easy-to-check conditions, which can be directly applied to all the models encompassed in the class and for every distribution which satisfies mild moment conditions. Consis- tency and asymptotic normality of quasi-maximum likelihood estimators are established, with the focus on the exponential family. Finite sample properties and the use of information criteria for model selection are inves- tigated throughout Monte Carlo studies. An empirical application to count data is discussed, concerning a test-bed time series on the spread of an infection.
Armillotta, Mirko; Luati, Alessandra; Lupparelli, Monia
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/877861
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