Home > Research > Publications & Outputs > Quasi-likelihood inference for negative binomia...

Links

Text available via DOI:

View graph of relations

Quasi-likelihood inference for negative binomial time series models

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>01/2014
<mark>Journal</mark>Journal of Time Series Analysis
Issue number1
Volume35
Number of pages24
Pages (from-to)55-78
Publication statusPublished
Early online date16/12/13
Original languageEnglish

Abstract

We study inference and diagnostics for count time series regression models that include a feedback mechanism. In particular, we are interested in negative binomial processes for count time series. We study probabilistic properties and quasi‐likelihood estimation for this class of processes. We show that the resulting estimators are consistent and asymptotically normally distributed. These facts enable us to construct probability integral transformation plots for assessing any assumed distributional assumptions. The key observation in developing the theory is a mean parameterized form of the negative binomial distribution. For transactions data, it is seen that the negative binomial distribution offers a better fit than the Poisson distribution. This is an immediate consequence of the fact that transactions can be represented as a collection of individual activities that correspond to different trading strategies.