Statistics Papers

Document Type

Technical Report

Date of this Version

2008

Publication Source

Journal of Business & Economic Statistics

Volume

26

Issue

3

Start Page

369

Last Page

378

DOI

10.1198/073500107000000278

Abstract

The widespread popularity and use of both the Poisson and the negative binomial models for count data arise, in part, from their derivation as the number of arrivals in a given time period assuming exponentially distributed interarrival times (without and with heterogeneity in the underlying base rates, respectively). However, with that clean theory come some limitations including limited flexibility in the assumed underlying arrival rate distribution and the inability to model underdispersed counts (variance less than the mean). Although extant research has addressed some of these issues, there still remain numerous valuable extensions. In this research, we present a model that, due to computational tractability, was previously thought to be infeasible. In particular, we introduce here a generalized model for count data based upon an assumed Weibull interarrival process that nests the Poisson and negative binomial models as special cases. The computational intractability is overcome by deriving the Weibull count model using a polynomial expansion which then allows for closed-form inference (integration term-by-term) when incorporating heterogeneity due to the conjugacy of the expansion and a commonly employed gamma distribution. In addition, we demonstrate that this new Weibull count model can (1) model both over- and underdispersed count data, (2) allow covariates to be introduced in a straightforward manner through the hazard function, and (3) be computed in standard software.

Copyright/Permission Statement

This is an Accepted Manuscript of an article published by Taylor & Francis in the Journal of Business & Economics Statistics in 2008, available online: http://dx.doi.org/10.1198/073500107000000278

Keywords

closed-form inferences, hazard models, polynomial expressions

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Date Posted: 25 October 2018

This document has been peer reviewed.