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Prediction and Classification of Non-stationary Categorical Time Series

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Prediction and Classification of Non-stationary Categorical Time Series. / Fokianos, K.; Kedem, B.
In: Journal of Multivariate Analysis, Vol. 67, No. 2, 11.1998, p. 277-296.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Fokianos, K & Kedem, B 1998, 'Prediction and Classification of Non-stationary Categorical Time Series', Journal of Multivariate Analysis, vol. 67, no. 2, pp. 277-296. https://doi.org/10.1006/jmva.1998.1765

APA

Fokianos, K., & Kedem, B. (1998). Prediction and Classification of Non-stationary Categorical Time Series. Journal of Multivariate Analysis, 67(2), 277-296. https://doi.org/10.1006/jmva.1998.1765

Vancouver

Fokianos K, Kedem B. Prediction and Classification of Non-stationary Categorical Time Series. Journal of Multivariate Analysis. 1998 Nov;67(2):277-296. doi: 10.1006/jmva.1998.1765

Author

Fokianos, K. ; Kedem, B. / Prediction and Classification of Non-stationary Categorical Time Series. In: Journal of Multivariate Analysis. 1998 ; Vol. 67, No. 2. pp. 277-296.

Bibtex

@article{4921596b5f5746319e7cbabab952e09a,
title = "Prediction and Classification of Non-stationary Categorical Time Series",
abstract = "Partial likelihood analysis of a general regression model for the analysis of non-stationary categorical time series is presented, taking into account stochastic time dependent covariates. The model links the probabilities of each category to a covariate process through a vector of time invariant parameters. Under mild regularity conditions, we establish good asymptotic properties of the estimator by appealing to martingale theory. Certain diagnostic tools are presented for checking the adequacy of the fit.",
keywords = "non-stationarity, classification, prediction, asymptotic theory, partial likelihood, goodness of fit",
author = "K. Fokianos and B. Kedem",
year = "1998",
month = nov,
doi = "10.1006/jmva.1998.1765",
language = "English",
volume = "67",
pages = "277--296",
journal = "Journal of Multivariate Analysis",
issn = "0047-259X",
publisher = "Academic Press Inc.",
number = "2",

}

RIS

TY - JOUR

T1 - Prediction and Classification of Non-stationary Categorical Time Series

AU - Fokianos, K.

AU - Kedem, B.

PY - 1998/11

Y1 - 1998/11

N2 - Partial likelihood analysis of a general regression model for the analysis of non-stationary categorical time series is presented, taking into account stochastic time dependent covariates. The model links the probabilities of each category to a covariate process through a vector of time invariant parameters. Under mild regularity conditions, we establish good asymptotic properties of the estimator by appealing to martingale theory. Certain diagnostic tools are presented for checking the adequacy of the fit.

AB - Partial likelihood analysis of a general regression model for the analysis of non-stationary categorical time series is presented, taking into account stochastic time dependent covariates. The model links the probabilities of each category to a covariate process through a vector of time invariant parameters. Under mild regularity conditions, we establish good asymptotic properties of the estimator by appealing to martingale theory. Certain diagnostic tools are presented for checking the adequacy of the fit.

KW - non-stationarity

KW - classification

KW - prediction

KW - asymptotic theory

KW - partial likelihood

KW - goodness of fit

U2 - 10.1006/jmva.1998.1765

DO - 10.1006/jmva.1998.1765

M3 - Journal article

VL - 67

SP - 277

EP - 296

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

SN - 0047-259X

IS - 2

ER -