ARMA Models for Zero Inflated Count Time Series

Abstract: Zero inflation is a common nuisance while monitoring disease progression over time. This article proposes a new observation driven model for zero inflated and over-dispersed count time series. The counts given the past history of the process and available information on covariates is assumed to be distributed as a mixture of a Poisson distribution and a distribution degenerate at zero, with a time dependent mixing probability, $\pi_t$. Since, count data usually suffers from overdispersion, a Gamma distribution is used to model the excess variation, resulting in a zero inflated Negative Binomial (NB) regression model with mean parameter $\lambda_t$. Linear predictors with auto regressive and moving average (ARMA) type terms, covariates, seasonality and trend are fitted to $\lambda_t$ and $\pi_t$ through canonical link generalized linear models. Estimation is done using maximum likelihood aided by iterative algorithms, such as Newton Raphson (NR) and Expectation and Maximization (EM). Theoretical results on the consistency and asymptotic normality of the estimators are given. The proposed model is illustrated using in-depth simulation studies and a dengue data set.