Count network autoregression

被引:7
作者
Armillotta, Mirko [1 ,2 ]
Fokianos, Konstantinos [3 ,4 ]
机构
[1] Vrije Univ Amsterdam, Dept Econometr & Data Sci, Amsterdam, Netherlands
[2] Tinbergen Inst, Amsterdam, Netherlands
[3] Univ Cyprus, Dept Math & Stat, Nicosia, Cyprus
[4] Univ Cyprus, Dept Math & Stat, Univ House Anastasios G Leventis 1 Panepistimiou, CY-1678 Nicosia, Cyprus
关键词
Generalized linear models; increasing dimension; link function; multi-variate count time series; quasi-likelihood; MULTIVARIATE TIME-SERIES; LIKELIHOOD-ESTIMATION; MODELS; INFERENCE; CONSISTENCY; ERGODICITY; ORDER;
D O I
10.1111/jtsa.12728
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
We consider network autoregressive models for count data with a non-random neighborhood structure. The main methodological contribution is the development of conditions that guarantee stability and valid statistical inference for such models. We consider both cases of fixed and increasing network dimension and we show that quasi-likelihood inference provides consistent and asymptotically normally distributed estimators. The article is complemented by simulation results and a data example.
引用
收藏
页码:584 / 612
页数:29
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