Coherent Predictions of Low Count Time Series

The application of traditional forecasting methods to discrete count data yields forecasts that are non-coherent. That is, such methods produce non-integer point and interval predictions which violate the restrictions on the sample space of the integer variable. This paper presents a methodology for producing coherent forecasts of low count time series. The forecasts are based on estimates of the p-step ahead predictive mass functions for a family of distributions nested in the integer-valued first-order autoregressive (INAR(1)) class. The predictive mass functions are constructed from convolutions of the unobserved components of the model, with uncertainty associated with both parameter values and model specifcation fully incorporated. The methodology is used to analyse two sets of Canadian wage loss claims data.Forecasting; Discrete Time Series; INAR(1); Bayesian Prediction; Bayesian Model Averaging.

Testing for Dependence in Non-Gaussian Time Series Data

This paper provides a general methodology for testing for dependence in time series data, with particular emphasis given to non-Gaussian data. A dynamic model is postulated for a continuous latent variable and the dynamic structure transferred to the non-Gaussian, possibly discrete, observations. Locally most powerful tests for various forms of dependence are derived, based on an approximate likelihood function. Invariance to the distribution adopted for the data, conditional on the latent process, is shown to hold in certain cases. The tests are applied to various financial data sets, and Monte Carlo experiments used to gauge their finite sample properties.Latent variable model; locally most powerful tests; approximate likelihood; correlation tests; stochastic volatility tests.

Coherent Predictions of Low Count Time Series

The application of traditional forecasting methods to discrete count data yields forecasts that are non-coherent. That is, such methods produce non-integer point and interval predictions which violate the restrictions on the sample space of the integer variable. This paper presents a methodology for producing coherent forecasts of low count time series. The forecasts are based on estimates of the p-step ahead predictive mass functions for a family of distributions nested in the integer-valued first-order autoregressive (INAR(1)) class. The predictive mass functions are constructed from convolutions of the unobserved components of the model, with uncertainty associated with both parameter values and model specification fully incorporated. The methodology is used to analyse two sets of Canadian wage loss claims data

Testing for Dependence in Non-gaussian Time Series Data

This paper provides a general methodology for testing for dependence in time series data, with particular emphasis given to non-Gaussian data. A dynamic model is postulated for a continuous latent variable and the dynamic structure transferred to the non-Gaussian, possibly discrete, observations. Locally most powerful tests for various forms of dependence are derived, based on an approximate likelihood function. Invariance to the distribution adopted for the data, conditional on the latent process, is shown to hold in certain cases. The tests are applied to various financial data sets, and Monte Carlo experiments used to gauge their finite sample properties

Coherent Predictions of Low Count Time Series

The application of traditional forecasting methods to discrete count data yields forecasts that are non-coherent. That is, such methods produce non-integer point and interval predictions which violate the restrictions on the sample space of the integer variable. This paper presents a methodology for producing coherent forecasts of low count time series. The forecasts are based on estimates of the p-step ahead predictive mass functions for a family of distributions nested in the integer-valued first-order autoregressive (INAR(1)) class. The predictive mass functions are constructed from convolutions of the unobserved components of the model, with uncertainty associated with both parameter values and model specification fully incorporated. The methodology is used to analyse two sets of Canadian wage loss claims data

Testing for heteroscedasticity in regression models Some further results

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