Prediction and Classification of Non-stationary Categorical Time Series
AbstractPartial likelihood analysis of a general regression model for the analysis of non-stationary categorical time series is presented, taking into account stochastic time dependent covariates. The model links the probabilities of each category to a covariate process through a vector of time invariant parameters. Under mild regularity conditions, we establish good asymptotic properties of the estimator by appealing to martingale theory. Certain diagnostic tools are presented for checking the adequacy of the fit.
Download InfoIf 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.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 67 (1998)
Issue (Month): 2 (November)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Konstantinos Fokianos, 2002. "Power Divergence Family of Tests for Categorical Time Series Models," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(3), pages 543-564, September.
- Dag Tjøstheim, 2012. "Rejoinder on: 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 469-476, September.
- Heikki Kauppi, 2008. "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers 31, Aboa Centre for Economics.
- Zhen, X. & Basawa, I.V., 2009. "Categorical time series models for contingency tables," Statistics & Probability Letters, Elsevier, vol. 79(10), pages 1331-1336, May.
- Ginger M. Davis & Katherine B. Ensor, 2007. "Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 867-885, November.
- Konstantinos Fokianos, 2012. "Comments on: 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 451-454, September.
- Zhen, X. & Basawa, I.V., 2009. "Observation-driven generalized state space models for categorical time series," Statistics & Probability Letters, Elsevier, vol. 79(24), pages 2462-2468, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.