Title page for etd-0610113-172826


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URN etd-0610113-172826
Author Pei-Hsun Tsai
Author's Email Address No Public.
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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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