Poisson Autoregression
From MaRDI portal
Publication:3069878
DOI10.1198/jasa.2009.tm08270zbMath1205.62130MaRDI QIDQ3069878
Dag Tjøstheim, Konstantinos Fokianos, Anders Rahbek
Publication date: 1 February 2011
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jasa.2009.tm08270
likelihood; count data; irreducibility; Poisson regression; asymptotic theory; geometric ergodicity; generalized linear model; observation-driven model; integer generalized autoregressive conditional heteroscedasticity; noncanonical link function
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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