Quasi-likelihood inference for mixed Poisson time series

机译：混合泊松时间序列的准可能性推断

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We study inference for count time series regression models which include a feedback mechanism. In particular, we are interested on mixed Poisson processes for count time series. We study probabilistic properties and quasi likelihood estimation for this class of processes. We show that the resulting estimators are consistent and asymptotically normally distributed. These facts enable us to construct probability integral transformation plots for assessing any assumed distributional assumptions. The key observation in developing the theory is a mean parameterized form of the mixed Poisson process.

机译：我们研究包括反馈机制的计数时间序列回归模型的推断。特别是，我们对计数时间序列的混合泊松过程感兴趣。我们研究这类过程的概率性质和准可能性估计。我们表明所产生的估计器是一致的和渐近平常分布的。这些事实使我们能够构建用于评估任何假定的分布假设的概率积分转换图。发展理论的关键观察是混合泊松过程的平均参数化形式。

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《International Conference on Computational Statistics》|2012年||共10页
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Konstantinos Fokianos; Vasiliki Christou;
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中图分类 O212-532;
关键词
autocorrelation; consistency; diagnostics; estimation; likelihood; mixed Poisson processes; prediction;

机译：自相关;一致性;诊断;估计;可能性;混合泊松过程;预测;

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专利

1. NEGATIVE BINOMIAL QUASI-LIKELIHOOD INFERENCE FOR GENERAL INTEGER-VALUED TIME SERIES MODELS [J] . Aknouche Abdelhakim, Bendjeddou Sara, Touche Nassim Journal of Time Series Analysis . 2018,第2期

机译：一般整数值时间序列模型的负二项式拟似然推断
2. QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS [J] . VASILIKI CHRISTOU, KONSTANTINOS FOKIANOS Journal of Time Series Analysis . 2014,第1期

机译：负二项式时间序列模型的拟似然推断
3. Spline-based quasi-likelihood estimation of mixed Poisson regression with single-index models [J] . Lu Minggen Metrika: International Journal for Theoretical and Applied Statistics . 2018,第1期

机译：基于样条的准似然估计单索引模型的混合泊松回归
4. Quasi-likelihood inference for mixed Poisson time series [C] . Konstantinos Fokianos, Vasiliki Christou International Conference on Computational Statistics . 2012

机译：混合泊松时间序列的准可能性推断
5. Two essays on time series econometrics: Multiple time series analysis of the Asian crisis and estimation and inference of the nonstationary structural vector autoregressive model. [D] . Wang, Siyan. 2001

机译：关于时间序列计量经济学的两篇文章：亚洲危机的多个时间序列分析以及非平稳结构向量自回归模型的估计和推断。
6. A marginal quasi-likelihood approach to the analysis of Poisson variables with generalized linear mixed models [O] . JL Foulley, S Im 1993

机译：用广义线性混合模型分析泊松变量的边际拟似然法
7. A marginal quasi-likelihood approach to the analysis of Poisson variables with generalized linear mixed models [O] . JL Foulley, S Im 2009

机译：用广义线性混合模型分析泊松变量的边际拟似然法
8. Combined Nonparametric Inference and State Estimation for Mixed Poisson Processes [R] . Karr, A. F. 1984

机译：混合泊松过程的非参数推理与状态估计相结合

Quasi-likelihood inference for mixed Poisson time series

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