Advanced Search
MyIDEAS: Login to save this article or follow this journal

Partial Likelihood Inference For Time Series Following Generalized Linear Models

Contents:

Author Info

  • Konstantinos Fokianos
  • Benjamin Kedem
Registered author(s):

    Abstract

    The present article offers a certain unifying approach to time series regression modelling by combining partial likelihood (PL) inference and generalized linear models. An advantage gained by resorting to PL is that the joint distribution of the response and the covariates is left unspecified, and furthermore, PL allows for temporal or sequential conditional inference with respect to a filtration generated by all that is known to the observer at the time of observation. Two real data examples illustrate the methodology. Copyright 2004 Blackwell Publishing Ltd.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=jtsa&volume=25&issue=2&year=2004&part=null
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

    Volume (Year): 25 (2004)
    Issue (Month): 2 (03)
    Pages: 173-197

    as in new window
    Handle: RePEc:bla:jtsera:v:25:y:2004:i:2:p:173-197

    Contact details of provider:
    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

    Order Information:
    Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009. "Poisson Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
    2. Fokianos, Konstantions & Fried, Roland, 2009. "Interventions in ingarch processes," Technical Reports 2009,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Konstantinos Fokianos & Dag Tjøstheim, 2012. "Nonlinear Poisson autoregression," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(6), pages 1205-1225, December.
    4. Dag Tjøstheim, 2012. "Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 21(3), pages 413-438, September.
    5. Klingenberg, Bernhard, 2008. "Regression models for binary time series with gaps," Computational Statistics & Data Analysis, Elsevier, vol. 52(8), pages 4076-4090, April.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:25:y:2004:i:2:p:173-197. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.