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STAT Seminar Series: Count Time Series

Speaker Name: 
Robert Lund
Speaker Title: 
Professor and Chair of the Department of Statistics
Speaker Organization: 
University of California Santa Cruz
Start Time: 
Monday, October 19, 2020 - 4:00pm
End Time: 
Monday, October 19, 2020 - 5:05pm
Via Zoom Presentation
Visit. Asst. Prof. Claudia Wehrhahn


This talk overviews the modeling of count time series, detailing some history and recent breakthroughs. Classical work involving the discrete and integer autoregressive moving-average model classes is first reviewed.  Drawbacks with these models are illuminated and used to motivate two more modern approaches: copulas and construction from stationary sequences of zeroes and ones. What emerges are very flexible model classes that are naturally parsimonious, can have negative autocorrelations and/or long-memory features, and can be statistically fitted by likelihood, composite likelihood, and/or moment methods.   Various applications are pursued, including a bivariate hurricane count model with Poisson components that are negatively correlated, and rare events in Major League baseball.

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