Generalized Autoregressive Neural Network Models (2002.05676v1)

Abstract: A time series is a sequence of observations taken sequentially in time. The autoregressive integrated moving average is a class of the model more used for times series data. However, this class of model has two critical limitations. It fits well onlyGaussian data with the linear structure of correlation. Here, I present a new model named as generalized autoregressive neural networks, GARNN. The GARNN is an extension of the generalized linear model where the mean marginal depends on the lagged values via the inclusion of the neural network in the link function. A practical application of the model is shown using a well-known poliomyelitis case number, originated analyzed by Zeger and Qaqish (1988),