Nonlinear Poisson autoregression

Fokianos, Konstantinos; Tjøstheim, D.

doi:10.1007/s10463-012-0351-3

dc.contributor.author	Fokianos, Konstantinos	en
dc.contributor.author	Tjøstheim, D.	en
dc.creator	Fokianos, Konstantinos	en
dc.creator	Tjøstheim, D.	en
dc.date.accessioned	2019-12-02T10:35:09Z
dc.date.available	2019-12-02T10:35:09Z
dc.date.issued	2012
dc.identifier.uri	http://gnosis.library.ucy.ac.cy/handle/7/56827
dc.description.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. © The Institute of Statistical Mathematics, Tokyo 2012.	en
dc.source	Annals of the Institute of Statistical Mathematics	en
dc.source.uri	https://www.scopus.com/inward/record.uri?eid=2-s2.0-84870240989&doi=10.1007%2fs10463-012-0351-3&partnerID=40&md5=2467b17cafda21bd9f789dd0121a1e55
dc.subject	Regression analysis	en
dc.subject	Maximum likelihood estimation	en
dc.subject	Statistical properties	en
dc.subject	Ergodics	en
dc.subject	Non-linear model	en
dc.subject	Perturbation	en
dc.subject	Maximum likelihood estimator	en
dc.subject	Link function	en
dc.subject	Geometric ergodicity	en
dc.subject	Poisson autoregression	en
dc.subject	Regression parameters	en
dc.subject	Smooth transition models	en
dc.title	Nonlinear Poisson autoregression	en
dc.type	info:eu-repo/semantics/article
dc.identifier.doi	10.1007/s10463-012-0351-3
dc.description.volume	64
dc.description.issue	6
dc.description.startingpage	1205
dc.description.endingpage	1225
dc.author.faculty	Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences
dc.author.department	Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics
dc.type.uhtype	Article	en
dc.description.notes	<p>Cited By :20</p>	en
dc.source.abbreviation	Annal.Inst.Stat.Math.	en
dc.contributor.orcid	Fokianos, Konstantinos [0000-0002-0051-711X]
dc.gnosis.orcid	0000-0002-0051-711X

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