Prediction and Classification of Non-stationary Categorical Time Series

Fokianos, K. and Kedem, B. (1998) Prediction and Classification of Non-stationary Categorical Time Series. Journal of Multivariate Analysis, 67 (2). pp. 277-296. ISSN 0047-259X

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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.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Multivariate Analysis
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2612
Subjects:
ID Code:
127895
Deposited By:
Deposited On:
03 Oct 2018 13:52
Refereed?:
Yes
Published?:
Published
Last Modified:
11 Feb 2020 04:35