Prediction and Classification of Non-stationary Categorical Time Series

Partial likelihood analysis of a general regression model for the analysis of non-stationary categorical time series is presented, taking into account stochastic time dependent covariates. The model links the probabilities of each category to a covariate process through a vector of time invariant parameters. Under mild regularity conditions, we establish good asymptotic properties of the estimator by appealing to martingale theory. Certain diagnostic tools are presented for checking the adequacy of the fit.