This paper proposes a method for analyzing count time series with inflation or deflation of zeros. In particular, zero-modified Poisson and zero-modified negative binomial series with intensities generated by non-negative Markov sequences are studied in detail. Parameters of the model are estimated by the method of estimating equations which is facilitated by expressing the model in a generalized state space form. The latent intensities required for estimation are extracted using generalized Kalman filter. The applications of proposed model and its estimation methods are illustrated using simulated and real data sets.
翻译:本文件提出了一种分析计算时间序列的方法,其中含有通货膨胀或零效应的通货膨胀或通缩。特别是,详细研究了零变波索森和零变负负二元系列,其中含有非负式马尔科夫序列产生的强度。模型的参数通过以通用状态空间形式表达模型所便利的估算方程方法估算。估计所需的潜在强度利用通用的卡尔曼过滤器提取。模拟和实际数据集演示了拟议模型的应用及其估算方法。