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Marginal Estimation of Parameter Driven Binomial Time Series Models
Author(s) -
Dunsmuir William,
He Jieyi
Publication year - 2017
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/jtsa.12205
Subject(s) - mathematics , autocorrelation , binomial regression , statistics , quasi likelihood , series (stratigraphy) , generalized linear model , negative binomial distribution , marginal model , count data , linear model , regression analysis , econometrics , paleontology , poisson distribution , biology
This article develops asymptotic theory for estimation of parameters in regression models for binomial response time series where serial dependence is present through a latent process. Use of generalized linear model estimating equations leads to asymptotically biased estimates of regression coefficients for binomial responses. An alternative is to use marginal likelihood, in which the variance of the latent process but not the serial dependence is accounted for. In practice, this is equivalent to using generalized linear mixed model estimation procedures treating the observations as independent with a random effect on the intercept term in the regression model. We prove that this method leads to consistent and asymptotically normal estimates even if there is an autocorrelated latent process. Simulations suggest that the use of marginal likelihood can lead to generalized linear model estimates result. This problem reduces rapidly with increasing number of binomial trials at each time point, but for binary data, the chance of it can remain over 45 % even in very long time series. We provide a combination of theoretical and heuristic explanations for this phenomenon in terms of the properties of the regression component of the model, and these can be used to guide application of the method in practice.