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Generalized autoregressive and moving average models: multicollinearity, interpretation and a new modified model

Albarracin, Orlando Yesid Esparza ; Alencar, Airlane Pereira ; Ho, Linda Lee

Journal of statistical computation and simulation, 2019-07, Vol.89 (10), p.1819-1840 [Periódico revisado por pares]

Abingdon: Taylor & Francis

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Título:
Generalized autoregressive and moving average models: multicollinearity, interpretation and a new modified model
Autor: Albarracin, Orlando Yesid Esparza ; Alencar, Airlane Pereira ; Ho, Linda Lee
Assuntos: 62M10. Time series ; auto-correlation ; Autoregressive models ; Autoregressive moving average ; Autoregressive moving-average models ; Computer simulation ; count time series ; Data analysis ; Economic models ; Estimating techniques ; exponential family distribution ; GARMA model ; Hospilatization rates ; ILRS algorithm ; Maximum likelihood estimators ; Older people ; Parameter modification ; regression ; Respiratory diseases
É parte de: Journal of statistical computation and simulation, 2019-07, Vol.89 (10), p.1819-1840
Descrição: In this paper, we call attention of two observed features in practical applications of the Generalized Autoregressive Moving Average (GARMA) model due to the structure of its linear predictor. One is the multicollinearity which may lead to a non-convergence of the maximum likelihood, using iteratively reweighted least squares, and the inflation of the estimator's variance. The second is that the inclusion of the same lagged observations into the autoregressive and moving average components confounds the interpretation of the parameters. A modified model, GAR-M, is presented to reduce the multicollinearity and to improve the interpretation of the parameters. The expectation and variance under stationarity conditions are presented for the identity and logarithm link function. In a general sense, simulation studies show that the maximum likelihood estimators based on the GARMA and GAR-M models are equivalent but the GAR-M estimators presented a little lower standard errors and some restrictions in the parametric space are imposed to guarantee the stationarity of the process. Also, a real data analysis illustrates the GAR-M fit for daily hospitalization rates of elderly people due to respiratory diseases from October 2012 to April 2015 in São Paulo city, Brazil.
Editor: Abingdon: Taylor & Francis
Idioma: Inglês

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Generalized autoregressive and moving average models: multicollinearity, interpretation and a new modified model

Albarracin, Orlando Yesid Esparza ; Alencar, Airlane Pereira ; Ho, Linda Lee

Abingdon: Taylor & Francis

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