Time series of count data: modeling, estimation and diagnostics

Computational Statistics and Data Analysis

Volumn 51, Issue 4, 2006, Pages 2350-2364

  Jung, Robert C ^a   Kukuk, Martin ^b   Liesenfeld, Roman ^c  

^a UNIVERSITY OF TÜBINGEN   (Germany)

^b UNIVERSITY OF WÜRZBURG   (Germany)

^c UNIVERSITY OF KIEL   (Germany)

Author keywords

Efficient importance sampling; Markov chain Monte Carlo; Observation driven model; Ordered probit; Parameter driven model

Indexed keywords

COMPUTER SIMULATION; CORRELATION METHODS; MARKOV PROCESSES; MATHEMATICAL MODELS; MONTE CARLO METHODS; PARAMETER ESTIMATION;

EFFICIENT IMPORTANCE SAMPLING; MARKOV CHAIN MONTE CARLO METHODS; OBSERVATION-DRIVEN MODELS; ORDERED PROBIT; PARAMETER-DRIVEN MODELS;

TIME SERIES ANALYSIS;

EID: 33750967610     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.08.001     Document Type: Article

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