Model selection for time series of count data

Alzahrani, Naif and Neal, Peter John and Spencer, Simon and McKinley, Trevelyan and Touloupou, Panayiota (2018) Model selection for time series of count data. Computational Statistics and Data Analysis, 122. pp. 33-44. ISSN 0167-9473

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Selecting between competing statistical models is a challenging problem especially when the competing models are non-nested. An effective algorithm is developed in a Bayesian framework for selecting between a parameter-driven autoregressive Poisson regression model and an observation-driven integer valued autoregressive model when modeling time series count data. In order to achieve this a particle MCMC algorithm for the autoregressive Poisson regression model is introduced. The particle filter underpinning the particle MCMC algorithm plays a key role in estimating the marginal likelihood of the autoregressive Poisson regression model via importance sampling and is also utilised to estimate the DIC. The performance of the model selection algorithms are assessed via a simulation study. Two real-life data sets, monthly US polio cases (1970-1983) and monthly benefit claims from the logging industry to the British Columbia Workers Compensation Board (1985-1994) are successfully analysed.

Item Type:
Journal Article
Journal or Publication Title:
Computational Statistics and Data Analysis
Additional Information:
This is the author’s version of a work that was accepted for publication in Computational Statistics & Data Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Computational Statistics & Data Analysis, 122, 2018 DOI: 10.1016/j.csda.2018.01.002
Uncontrolled Keywords:
?? autoregressive poisson regression modelinar modelingarch modelmarginal likelihoodmcmcparticle filtercomputational theory and mathematicscomputational mathematicsapplied mathematicsstatistics and probability ??
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Deposited On:
08 Jan 2018 09:26
Last Modified:
27 Apr 2024 23:53