Nonlinear Poisson autoregression

Fokianos, K. and Tjøstheim, D. (2012) Nonlinear Poisson autoregression. Annals of the Institute of Statistical Mathematics, 64 (6). pp. 1205-1225. ISSN 0020-3157

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Abstract

We study statistical properties of a class of non-linear models for regression analysis of count time series. Under mild conditions, it is shown that a perturbed version of the model is geometrically ergodic and possesses moments of any order. This result turns out to be instrumental on deriving large sample properties of the maximum likelihood estimators of the regression parameters. The theory is illustrated with examples.

Item Type:

Journal Article

Journal or Publication Title:

Annals of the Institute of Statistical Mathematics

Uncontrolled Keywords:

/dk/atira/pure/subjectarea/asjc/2600/2613

Subjects:

?? geometric ergodicitylink function maximum likelihood estimationperturbation smooth transition models statistics and probability ??

Departments:

Faculty of Science and Technology > Mathematics and Statistics

ID Code:

127805

Deposited By:

ep_importer_pure

Deposited On:

01 Oct 2018 10:48

Refereed?:

Yes

Published?:

Published

Last Modified:

15 Jul 2024 18:23

URI:

https://eprints.lancs.ac.uk/id/eprint/127805