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On weak dependence conditions for Poisson autoregressions

Paul Doukhan, Konstantinos Fokianos and Dag Tjøstheim

Statistics & Probability Letters, 2012, vol. 82, issue 5, 942-948

Abstract: We consider generalized linear models for regression modeling of count time series. We give easily verifiable conditions for obtaining weak dependence for such models. These results enable the development of maximum likelihood inference under minimal conditions. Some examples which are useful to applications are discussed in detail.

Keywords: Autocorrelation; Generalized linear models; Limit theorems; Prediction; Stationarity (search for similar items in EconPapers)
Date: 2012
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