Seasonal count time series

被引:8
|
作者
KONG, J. I. A. J. I. E. [1 ]
LUND, R. O. B. E. R. T. [1 ]
机构
[1] Univ Calif Santa Cruz, Dept Stat, Santa Cruz, CA 95064 USA
关键词
Copulas; count time series; PARMA series; particle filtering; periodicities; SARMA series; AUTOREGRESSIVE PROCESSES; MODEL; COMPUTATION; SIMULATION; PREDICTION; REGRESSION;
D O I
10.1111/jtsa.12651
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
Count time series are widely encountered in practice. As with continuous valued data, many count series have seasonal properties. This article uses a recent advance in stationary count time series to develop a general seasonal count time series modeling paradigm. The model constructed here permits any marginal distribution for the series and the most flexible autocorrelations possible, including those with negative dependence. Likelihood methods of inference are explored. The article first develops the modeling methods, which entail a discrete transformation of a Gaussian process having seasonal dynamics. Properties of this model class are then established and particle filtering likelihood methods of parameter estimation are developed. A simulation study demonstrating the efficacy of the methods is presented and an application to the number of rainy days in successive weeks in Seattle, Washington is given.
引用
收藏
页码:93 / 124
页数:32
相关论文
共 50 条
  • [31] MODELING SEASONAL TIME-SERIES
    CLEVELAND, WP
    TIAO, GC
    ECONOMIE APPLIQUEE, 1979, 32 (01): : 107 - 129
  • [32] Forecasting Short Seasonal Time Series
    Jiang Xiangrong
    Chen Chung
    DATA PROCESSING AND QUANTITATIVE ECONOMY MODELING, 2010, : 426 - +
  • [33] Econometric analysis of seasonal time series
    Sloboda, BW
    INTERNATIONAL JOURNAL OF FORECASTING, 2003, 19 (02) : 329 - 330
  • [34] Seasonal specific structural time series
    Proietti, T
    STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2004, 8 (02):
  • [35] Seasonal Hydrological and Meteorological Time Series
    Cuervo, Edilberto Cepeda
    Achcar, Jorge Alberto
    Andrade, Marinho G.
    EARTH SCIENCES RESEARCH JOURNAL, 2018, 22 (02) : 83 - 90
  • [36] On seasonal signals in geodetic time series
    Davis, James L.
    Wernicke, Brian P.
    Tamisiea, Mark E.
    JOURNAL OF GEOPHYSICAL RESEARCH-SOLID EARTH, 2012, 117
  • [37] Seasonal forecasting In fuzzy time series
    Song, Q
    FUZZY SETS AND SYSTEMS, 1999, 107 (02) : 235 - 236
  • [38] Seasonal integration in economic time series
    Leong, K
    MATHEMATICS AND COMPUTERS IN SIMULATION, 1997, 43 (3-6) : 413 - 419
  • [39] SEASONAL CLEARING OF ECONOMIC TIME SERIES
    WETZEL, W
    METRIKA, 1971, 17 (1-2) : 189 - 196
  • [40] THE SEASONAL VARIANCE AND COVARIANCE OF TIME SERIES
    Colojoara, Alexandra
    UNIVERSITY POLITEHNICA OF BUCHAREST SCIENTIFIC BULLETIN-SERIES A-APPLIED MATHEMATICS AND PHYSICS, 2006, 68 (04): : 57 - 66