Zero-inflated count time series models using Gaussian copula

被引:9
作者
Alqawba, Mohammed [1 ]
Diawara, Norou [1 ]
Chaganty, N. Rao [1 ]
机构
[1] Old Dominion Univ, Dept Math & Stat, 4700 Elkhorn Ave, Norfolk, VA 23520 USA
来源
SEQUENTIAL ANALYSIS-DESIGN METHODS AND APPLICATIONS | 2019年 / 38卷 / 03期
关键词
Conway-Maxwell-Poisson; count time series; Gaussian copula; negative binomial; Poisson; sequential importance sampling; zero inflation; POISSON REGRESSION;
D O I
10.1080/07474946.2019.1648922
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Count time series data are observed in several applied disciplines such as environmental science, biostatistics, economics, public health, and finance. In some cases, a specific count, usually zero, may occur more often than other counts. However, overlooking the frequent occurrence of zeros could result in misleading inferences. In this article, we develop a copula-based time series regression model for zero-inflated counts. Zero-inflated Poisson (ZIP), zero-inflated negative binomial (ZINB), and zero-inflated Conway-Maxwell-Poisson (ZICMP) distributed marginals will be considered, and the joint distribution is modeled under Gaussian copula with autoregression moving average (ARMA) errors. Sequential sampling likelihood inference is performed. Simulated and real-life data examples are provided and studied to evaluate the proposed method.
引用
收藏
页码:342 / 357
页数:16
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