Reference : Predictions in overdispersed series of counts using an approximate predictive likelihood
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/2268/24523
Predictions in overdispersed series of counts using an approximate predictive likelihood
English
Lambert, Philippe mailto [Université de Liège - ULg > Institut des sciences humaines et sociales > Méthodes quantitatives en sciences sociales >]
1997
Journal of Forecasting
John Wiley & Sons, Inc. - Business
16
195-207
Yes (verified by ORBi)
International
0277-6693
[en] generalized autoregression model ; overdispersion ; prediction ; count data
[en] The generalized autoregression model or GARM, originally used to model series of non-negative data measured at irregularly spaced time points (Lambert, 1996a), is considered in a count data context. It is first shown how the GARM can be expressed as a GLM in the special case of a linear model for some transform of the location parameter. The Butler approximate predictive likelihood (Butler, 1986, Rejoinder) is then used to define likelihood prediction envelopes. The width of these intervals is shown to be slightly wider than the Fisher (1959, pp. 128-33) and Lejeune and Faulkenberry (1982) predictive likelihood-based envelopes which assume that the parameters have fixed known values (equal to their maximum likelihood estimates). The method is illustrated on a small count data set showing overdispersion.
http://hdl.handle.net/2268/24523
http://www3.interscience.wiley.com/journal/9442/abstract

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