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URN	etd-0610113-172826
Author	Pei-Hsun Tsai
Author's Email Address	No Public.
Statistics	This thesis had been viewed 5584 times. Download 0 times.
Department	Applied Mathematics
Year	2012
Semester	2
Degree	Master
Type of Document
Language	English
Title	A study on the integer-valued time series models with overdispersion
Date of Defense	2013-07-08
Page Count	44
Keyword	estimation Generalized Poisson distribution Poisson distribution Ingarch integer-value overdispersion
Abstract	Time series of counts observed in practice often exhibit overdispersion. The integer-valued generalized autoregressive conditional heteroscedastic (Ingarch) models are commonly used for count time series with overdispersion. We assume the conditional mean of an Ingarch model follows a Poisson distribution or other distributions, such as the negative Binomial distribution or the Generalized Poisson distribution. In this study, we investigate the properties, estimation of these Ingarch models. Two estimation methods: conditional least squares and maximum likelihood approach are considered. Numerical studies are performed to compare the properties and estimation of these Ingarch models.
Advisory Committee	Mong-Na Lo Huang - chair Chung Chang - co-chair Fu-Chuen Chang - co-chair Shih-Feng Huang - co-chair Mei-Hui Guo - advisor
Files	etd-0610113-172826.pdf Indicate in-campus at 99 year and off-campus access at 99 year.
Date of Submission	2013-07-25

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