Nonlinear Poisson autoregression

Konstantinos Fokianos () and Dag Tjøstheim ()

Annals of the Institute of Statistical Mathematics, 2012, vol. 64, issue 6, 1205-1225

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. Copyright The Institute of Statistical Mathematics, Tokyo 2012

Keywords: Geometric ergodicity; Link function; Maximum likelihood estimation; Perturbation; Smooth transition models (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10463-012-0351-3

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