Abstract

A serially dependent Poisson process with time-varying zero-inflation is proposed. Such formulations have the potential to model count data time series arising from phenomena such as infectious diseases that ebb and flow over time. The model assumes that the intensity of the Poisson process evolves according to a generalized autoregressive conditional heteroscedastic (GARCH) formulation and allows the zero-inflation parameter to vary over time and be governed by a deterministic function or by an exogenous variable. Both the expectation maximization (EM) and the maximum likelihood estimation (MLE) approaches are presented as possible estimation methods. A simulation study shows that both parameter estimation methods provide good estimates. Applications to two real-life data sets on infant deaths due to influenza show that the proposed integer-valued GARCH (INGARCH) model provides a better fit in general than existing zero-inflated INGARCH models. We also extended a non-linear INGARCH model to include zero-inflation and an exogenous input. This extended model performed as well as our proposed model with respect to some criteria, but not with respect to all.

Department(s)

Mathematics and Statistics

Publication Status

Open Access

International Standard Serial Number (ISSN)

1932-6203

Document Type

Article - Journal

Document Version

Final Version

File Type

text

Language(s)

English

Rights

© 2023 The Authors, All rights reserved.

Creative Commons Licensing

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 License.

Publication Date

01 May 2023

PubMed ID

37200315

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