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Count time series: a methodological review. (English) Zbl 1510.62356

Summary: A growing interest in non-Gaussian time series, particularly in series comprised of nonnegative integers (counts), is taking place in today’s statistics literature. Count series naturally arise in fields, such as agriculture, economics, epidemiology, finance, geology, meteorology, and sports. Unlike stationary Gaussian series where autoregressive moving-averages are the primary modeling vehicle, no single class of models dominates the count landscape. As such, the literature has evolved somewhat ad-hocly, with different model classes being developed to tackle specific situations. This article is an attempt to summarize the current state of count time series modeling. The article first reviews models having prescribed marginal distributions, including some recent developments. This is followed by a discussion of state-space approaches. Multivariate extensions of the methods are then studied and Bayesian approaches to the problem are considered. The intent is to inform researchers and practitioners about the various types of count time series models arising in the modern literature. While estimation issues are not pursued in detail, reference to this literature is made.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H20 Measures of association (correlation, canonical correlation, etc.)
62M30 Inference from spatial processes
62-02 Research exposition (monographs, survey articles) pertaining to statistics
Full Text: DOI

References:

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