Observation-driven models for Poisson counts

Richard A. Davis

Biometrika, 2003, vol. 90, issue 4, 777-790

Abstract: This paper is concerned with a general class of observation-driven models for time series of counts whose conditional distributions given past observations and explanatory variables follow a Poisson distribution. These models provide a flexible framework for modelling a wide range of dependence structures. Conditions for stationarity and ergodicity of these processes are established from which the large-sample properties of the maximum likelihood estimators can be derived. Simulations are provided to give additional insight into the finite-sample behaviour of the estimators. Finally an application to a regression model for daily counts of asthma presentations at a Sydney hospital is described. Copyright Biometrika Trust 2003, Oxford University Press.

Date: 2003
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