Count Data Time Series Modelling in Julia—The CountTimeSeries.jl Package and Applications
A new software package for the Julia language, CountTimeSeries.jl, is under review, which provides likelihood based methods for integer-valued time series. The package’s functionalities are showcased in a simulation study on finite sample properties of Maximum Likelihood (ML) estimation and three re...
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| Document types: | Article |
| Media types: | Text |
| Publication date: | 2021 |
| Date of publication on miami: | 18.06.2021 |
| Modification date: | 01.12.2022 |
| Edition statement: | [Electronic ed.] |
| Source: | Entropy 23 (2021) 6, 666, 1-22 |
| Subjects: | count data; time series analysis; Julia programming language |
| DDC Subject: | 000: Informatik, Wissen, Systeme
300: Sozialwissenschaften, Soziologie, Anthropologie |
| License: | CC BY 4.0 |
| Language: | English |
| Funding: | Finanziert durch den Open-Access-Publikationsfonds der Westfälischen Wilhelms-Universität Münster (WWU Münster). |
| Format: | PDF document |
| URN: | urn:nbn:de:hbz:6-37039752424 |
| Other Identifiers: | DOI: 10.3390/e23060666 |
| Permalink: | https://nbn-resolving.de/urn:nbn:de:hbz:6-37039752424 |
| Related records: |
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| Digital documents: | 10.3390_e23060666.pdf |
A new software package for the Julia language, CountTimeSeries.jl, is under review, which provides likelihood based methods for integer-valued time series. The package’s functionalities are showcased in a simulation study on finite sample properties of Maximum Likelihood (ML) estimation and three real-life data applications. First, the number of newly infected COVID-19 patients is predicted. Then, previous findings on the need for overdispersion and zero inflation are reviewed in an application on animal submissions in New Zealand. Further, information criteria are used for model selection to investigate patterns in corporate insolvencies in Rhineland-Palatinate. Theoretical background and implementation details are described, and complete code for all applications is provided online. The CountTimeSeries package is available at the general Julia package registry.