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Prediction and Classification of Non-stationary Categorical Time Series

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  • Fokianos, Konstantinos
  • Kedem, Benjamin
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    Abstract

    Partial 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.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 67 (1998)
    Issue (Month): 2 (November)
    Pages: 277-296

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    Handle: RePEc:eee:jmvana:v:67:y:1998:i:2:p:277-296

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    Related research

    Keywords: non-stationarity classification prediction asymptotic theory partial likelihood goodness of fit;

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    Cited by:
    1. 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.
    2. 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.
    3. Heikki Kauppi, 2008. "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers 31, Aboa Centre for Economics.
    4. Zhen, X. & Basawa, I.V., 2009. "Categorical time series models for contingency tables," Statistics & Probability Letters, Elsevier, vol. 79(10), pages 1331-1336, May.
    5. 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.
    6. 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.
    7. 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.

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