Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Mallows’ quasi-likelihood estimation for log-linear Poisson autoregressions. / Kitromilidou, S.; Fokianos, K.
In: Statistical Inference for Stochastic Processes, Vol. 19, No. 3, 10.2016, p. 337-361.Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Mallows’ quasi-likelihood estimation for log-linear Poisson autoregressions
AU - Kitromilidou, S.
AU - Fokianos, K.
PY - 2016/10
Y1 - 2016/10
N2 - We consider the problems of robust estimation and testing for a log-linear model with feedback for the analysis of count time series. We study inference for contaminated data with transient shifts, level shifts and additive outliers. It turns out that the case of additive outliers deserves special attention. We propose a robust method for estimating the regression coefficients in the presence of interventions. The resulting robust estimators are asymptotically normally distributed under some regularity conditions. A robust score type test statistic is also examined. The methodology is applied to real and simulated data.
AB - We consider the problems of robust estimation and testing for a log-linear model with feedback for the analysis of count time series. We study inference for contaminated data with transient shifts, level shifts and additive outliers. It turns out that the case of additive outliers deserves special attention. We propose a robust method for estimating the regression coefficients in the presence of interventions. The resulting robust estimators are asymptotically normally distributed under some regularity conditions. A robust score type test statistic is also examined. The methodology is applied to real and simulated data.
KW - Autocorrelation
KW - Estimating equations
KW - Generalized linear models
KW - Integer valued time series
KW - Interventions
KW - Robust estimation
U2 - 10.1007/s11203-015-9131-z
DO - 10.1007/s11203-015-9131-z
M3 - Journal article
VL - 19
SP - 337
EP - 361
JO - Statistical Inference for Stochastic Processes
JF - Statistical Inference for Stochastic Processes
IS - 3
ER -