Maximum likelihood estimation for an observation driven model for Poisson counts

Methodology and Computing in Applied Probability

Volumn 7, Issue 2, 2005, Pages 149-159

  Davis, Richard A ^a   Dunsmuir, William T M ^b   Streett, Sarah B ^c  

^a Veterinary Dentistry and Oral Surgery   (United States)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

^c NATIONAL INSTITUTE OF STANDARDS AND TECHNOLOGY   (United States)

Author keywords

Observation driven model; Poisson valued time series

Indexed keywords

EID: 22944471128     PISSN: 13875841     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11009-005-1480-4     Document Type: Article

References (4)

1. R.A. Davis K. Knight and J. Liu "M-estimation for autoregressions with infinite variance," Stochastic Processes Applications vol. 40 pp. 145-180, 1992.
2. R. A. Davis W. T. M. Dunsmuir and Y. Wang 1999 "Modelling time series of count data" In: Subir Ghosh Ed. Asymptotics, Nonparametrics, and Time Series Marcel-Dekker New York 63-114
3. R. A. Davis, W. T. M. Dunsmuir, and S. Streett, "Observation-driven models for Poisson counts," Biometrika vol. 9 pp. 777-790, 2003.
4. P. Hall C. and C. Heyde 1980 Martingale Limit Theory and its Application Academic Press New York