Hierarchical Markov-switching models for multivariate integer-valued time-series
多元整数值时间序列的层级马尔可夫转换模型
We propose a new flexible dynamic model for multivariate nonnegative integer-valued time-series. Observations are assumed to depend on the realization of two unobserved integer-valued stochastic variables which control for the time- and cross-dependence of the data. We provide conditional and unconditional (cross)-moments implied by the model, as well as the limiting distribution of the series. An Expectation–Maximization algorithm for maximum likelihood estimation of the…