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September 2020 Adaptive log-linear zero-inflated generalized Poisson autoregressive model with applications to crime counts
Xiaofei Xu, Ying Chen, Cathy W. S. Chen, Xiancheng Lin
Ann. Appl. Stat. 14(3): 1493-1515 (September 2020). DOI: 10.1214/20-AOAS1360

Abstract

This research proposes a comprehensive ALG model (Adaptive Log-linear zero-inflated Generalized Poisson integer-valued GARCH) to describe the dynamics of integer-valued time series of crime incidents with the features of autocorrelation, heteroscedasticity, overdispersion and excessive number of zero observations. The proposed ALG model captures time-varying nonlinear dependence and simultaneously incorporates the impact of multiple exogenous variables in a unified modeling framework. We use an adaptive approach to automatically detect subsamples of local homogeneity at each time point of interest and estimate the time-dependent parameters through an adaptive Bayesian Markov chain Monte Carlo (MCMC) sampling scheme. A simulation study shows stable and accurate finite sample performances of the ALG model under both homogeneous and heterogeneous scenarios. When implemented with data on crime incidents in Byron, Australia, the ALG model delivers a persuasive estimation of the stochastic intensity of criminal incidents and provides insightful interpretations on both the dynamics of intensity and the impacts of temperature and demographic factors for different crime categories.

Citation

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Xiaofei Xu. Ying Chen. Cathy W. S. Chen. Xiancheng Lin. "Adaptive log-linear zero-inflated generalized Poisson autoregressive model with applications to crime counts." Ann. Appl. Stat. 14 (3) 1493 - 1515, September 2020. https://doi.org/10.1214/20-AOAS1360

Information

Received: 1 October 2019; Revised: 1 April 2020; Published: September 2020
First available in Project Euclid: 18 September 2020

MathSciNet: MR4152143
Digital Object Identifier: 10.1214/20-AOAS1360

Keywords: Bayesian , excess zeros , integer-valued GARCH model , MCMC , nonstationarity , overdispersion

Rights: Copyright © 2020 Institute of Mathematical Statistics

Vol.14 • No. 3 • September 2020
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