Abstract
We are dealing with the prediction of forthcoming outcomes of a categorical time series. We will assume that the evolution of the time series is driven by a covariate process and by former outcomes and that the covariate process itself obeys an autoregressive law. Two forecasting methods are presented. The first is based on an integral formula for the probabilities of forthcoming events and by a Monte Carlo evaluation of this integral. The second method makes use of an approximation formula for conditional expectations. The procedures proposed are illustrated by an application to data on forest damages.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Brockwell, P.J. and Davis, R.A. (1987). Time Series: Theory and Methods. Springer, N.Y.
Fahrmeir, L. and Kaufmann, H. (1987). Regression models for non stationary categorical time series. Journal of Time Series Analysis, 8, 147–160.
Göttlein, A. and Pruscha, H. (1992). Ordinal time series models with application to forest damage data. In: Lecture Notes in Statistics, 78, Springer, N.Y., 113–118.
Göttlein, A. and Pruscha, H. (1995). Ergebnisse einer mehrjährigen Erfas-sung des Waldzustandes im Bereich Rothenbuch (submitted).
McCullagh, P. (1980). Regression models for ordinal data (with discussion). Journal of the Royal Statistical Society, Series B, 42, 109–142.
Pruscha, H. (1993). Categorical time series with a recursive scheme and with covariates. statistics, 24 43–57.
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1995 Springer Science+Business Media New York
About this paper
Cite this paper
Pruscha, H. (1995). Forecast Methods in Regression Models for Categorical Time Series. In: Seeber, G.U.H., Francis, B.J., Hatzinger, R., Steckel-Berger, G. (eds) Statistical Modelling. Lecture Notes in Statistics, vol 104. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-0789-4_29
Download citation
DOI: https://doi.org/10.1007/978-1-4612-0789-4_29
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-94565-1
Online ISBN: 978-1-4612-0789-4
eBook Packages: Springer Book Archive