Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model
نویسندگان
چکیده
منابع مشابه
Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model
This paper introduces and evaluates new models for time series count data. The Autoregressive Conditional Poisson model (ACP) makes it possible to deal with issues of discreteness, overdispersion (variance greater than the mean) and serial correlation. A fully parametric approach is taken and a marginal distribution for the counts is specified, where conditional on past observations the mean is...
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This paper introduces a new multivariate model for time series count data. The Multivariate Autoregressive Conditional Poisson model (MACP) makes it possible to deal with issues of discreteness, overdispersion (variance greater than the mean) and both autoand cross-correlation. We model counts as Poisson or double Poisson and assume that conditionally on past observations the means follow a Vec...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.1117187