Finding market structure by sales count dynamics -- multivariate structural time series models with hierarchical structure for count data

DOI10.1007/s10463-009-0244-2zbMath1422.62312OpenAlexW2079989113MaRDI QIDQ904070

Toshihiko Maki, Masataka Ban, Nobuhiko Terui

Publication date: 15 January 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-009-0244-2

zbMATH Keywords

count dataMCMCgeneralized linear modelpredictive densityhierarchical market structurePoisson-multinomial distributionPOS time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalized linear models (logistic models) (62J12)

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Cites Work

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• Zero-Inflated Poisson Regression, with an Application to Defects in Manufacturing
• On Gibbs sampling for state space models
• Bayesian Forecasting of Multinomial Time Series Through Conditional Gaussian Dynamic Models
• Bayesian Measures of Model Complexity and Fit

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