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Maximum Likelihood Estimation for an Observation Driven Model for Poisson Counts |
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| Authors: | Richard?A?Davis William?T?M?Dunsmuir |
| Institution: | (1) Department of Statistics, Colorado State University, Fort Collins, CO, USA;(2) Department of Statistics, University of New South Wales, Sydney, New South Wales, Australia;(3) Statistical Engineering Division, National Institute of Standards and Technology, Boulder, CO, USA |
| Abstract: | This paper is concerned with an observation-driven model for time series of counts whose conditional distribution given past observations follows a Poisson distribution.This class of models is capable of modeling a wide range of dependence structures and is readily estimated using an approximation to the likelihood function. Recursive formulae for carrying out maximum likelihood estimation are provided and the technical components required for establishing a central limit theorem of the maximum likelihood estimates are given in a special case.AMS 2000 Subject Classification: Primary 62M05; Secondary 62E20 |
| Keywords: | observation-driven model Poisson valued time series |
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