计数时间序列的分析:贝叶斯GARMA(p, q)方法

IF 0.6 Q4 STATISTICS & PROBABILITY

Austrian Journal of Statistics Pub Date : 2023-09-11 DOI:10.17713/ajs.v52i5.1568

Luiz Otávio de Oliveira Pala, Marcela de M. Carvalho, Thelma Sáfadi

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引用次数: 0

摘要

自回归移动平均的扩展，ARMA(p, q)类，建模非高斯时间序列近年来已在文献中提出，被应用于计数和率等现象。其中一种是广义自回归移动平均GARMA(p, q)，它由广义线性模型理论支持，并在贝叶斯视角下进行了研究。本文采用贝叶斯框架，利用泊松分布、负二项分布和泊松逆高斯分布研究计数时间序列的模型。为此，我们进行了模拟研究，此外，我们通过使用一组与巴西车辆盗窃数量相对应的真实数据，展示了这些模型的实际应用和评估。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Analysis of Count Time Series: A Bayesian GARMA(p, q) Approach

Extensions of the Autoregressive Moving Average, ARMA(p, q), class for modeling non-Gaussian time series have been proposed in the literature in recent years, being applied in phenomena such as counts and rates. One of them is the Generalized Autoregressive Moving Average, GARMA(p, q), that is supported by the Generalized Linear Models theory and has been studied under the Bayesian perspective. This paper aimed to study models for time series of counts using the Poisson, Negative binomial and Poisson inverse Gaussian distributions, and adopting the Bayesian framework. To do so, we carried out a simulation study and, in addition, we showed a practical application and evaluation of these models by using a set of real data, corresponding to the number of vehicle thefts in Brazil.

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来源期刊

Austrian Journal of Statistics STATISTICS & PROBABILITY-

CiteScore

1.10

自引率

0.00%

发文量

审稿时长

24 weeks

期刊介绍： The Austrian Journal of Statistics is an open-access journal (without any fees) with a long history and is published approximately quarterly by the Austrian Statistical Society. Its general objective is to promote and extend the use of statistical methods in all kind of theoretical and applied disciplines. The Austrian Journal of Statistics is indexed in many data bases, such as Scopus (by Elsevier), Web of Science - ESCI by Clarivate Analytics (formely Thompson & Reuters), DOAJ, Scimago, and many more. The current estimated impact factor (via Publish or Perish) is 0.775, see HERE, or even more indices HERE. Austrian Journal of Statistics ISNN number is 1026597X Original papers and review articles in English will be published in the Austrian Journal of Statistics if judged consistently with these general aims. All papers will be refereed. Special topics sections will appear from time to time. Each section will have as a theme a specialized area of statistical application, theory, or methodology. Technical notes or problems for considerations under Shorter Communications are also invited. A special section is reserved for book reviews.