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Partial Likelihood Inference For Time Series Following Generalized Linear Models

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  • Konstantinos Fokianos
  • Benjamin Kedem

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.

Suggested Citation

  • Konstantinos Fokianos & Benjamin Kedem, 2004. "Partial Likelihood Inference For Time Series Following Generalized Linear Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 173-197, March.
    • Handle: RePEc:bla:jtsera:v:25:y:2004:i:2:p:173-197
    DOI: 10.1046/j.0143-9782.2003.00344.x
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    References listed on IDEAS

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    1. Neil Shephard, 1995. "Generalized linear autoregressions," Economics Papers 8., Economics Group, Nuffield College, University of Oxford.
    2. Konstantinos Fokianos, 2001. "Truncated Poisson Regression for Time Series of Counts," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(4), pages 645-659, December.
    3. Ludwig Fahrmeir & Heinz Kaufmann, 1987. "Regression Models For Non‐Stationary Categorical Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(2), pages 147-160, March.
    4. P. Diggle & M. G. Kenward, 1994. "Informative Drop‐Out in Longitudinal Data Analysis," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 43(1), pages 49-73, March.
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    Citations

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    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. Andréa Rocha & Francisco Cribari-Neto, 2009. "Beta autoregressive moving average models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 18(3), pages 529-545, November.
    3. Brajendra C. Sutradhar & Asokan M. Variyath, 2020. "A New Look at the Models for Ordinal Categorical Data Analysis," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 82(1), pages 111-141, May.
    4. Klingenberg, Bernhard, 2008. "Regression models for binary time series with gaps," Computational Statistics & Data Analysis, Elsevier, vol. 52(8), pages 4076-4090, April.
    5. Fokianos, Konstantions & Fried, Roland, 2009. "Interventions in ingarch processes," Technical Reports 2009,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    6. R. Prabhakar Rao & Brajendra C. Sutradhar, 2020. "Multiple Categorical Covariates-Based Multinomial Dynamic Response Model," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 82(1), pages 186-219, February.
    7. 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;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 413-438, September.
    8. Konstantinos Fokianos & Dag Tjøstheim, 2012. "Nonlinear Poisson autoregression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(6), pages 1205-1225, December.
    9. Luis E. Nieto-Barajas, 2022. "Dependence on a collection of Poisson random variables," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(1), pages 21-39, March.
    10. Vurukonda Sathish & Siuli Mukhopadhyay & Rashmi Tiwari, 2022. "Autoregressive and moving average models for zero‐inflated count time series," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 76(2), pages 190-218, May.
    11. Fokianos, Konstantinos & Tjøstheim, Dag, 2011. "Log-linear Poisson autoregression," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 563-578, March.
    12. Moizes Melo & Airlane Alencar, 2020. "Conway–Maxwell–Poisson Autoregressive Moving Average Model for Equidispersed, Underdispersed, and Overdispersed Count Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 830-857, November.
    13. Guilherme Pumi & Taiane Schaedler Prass & Rafael Rigão Souza, 2021. "A dynamic model for double‐bounded time series with chaotic‐driven conditional averages," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(1), pages 68-86, March.
    14. Singh, Rakhi & Mukhopadhyay, Siuli, 2019. "Exact Bayesian designs for count time series," Computational Statistics & Data Analysis, Elsevier, vol. 134(C), pages 157-170.
    15. Konstantinos Fokianos & Roland Fried, 2010. "Interventions in INGARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 210-225, May.
    16. Rongning Wu & Yunwei Cui, 2014. "A Parameter-Driven Logit Regression Model For Binary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 462-477, August.

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