Modelling Non-Stationary Multivariate Time Series of Counts via Common Factors
用共同因子建模非平稳多元计数时间序列
Summary We develop a new parameter-driven model for multivariate time series of counts. The time series is not necessarily stationary. We model the mean process as the product of modulating factors and unobserved stationary processes. The former characterizes the long-run movement in the data, whereas the latter is responsible for rapid fluctuations and other unknown or unavailable covariates. The unobserved stationary processes evolve independently of the past observed…