Interventions in log-linear Poisson autoregression

Abstract

We consider the problem of estimating and detecting outliers in count time series data following a log-linear observation driven model. Log-linear models for count time series arise naturally because they correspond to the canonical link function of the Poisson distribution. They yield both positive and negative dependence, and covariate information can be conveniently incorporated. Within this framework, we establish test procedures for detection of unusual events ('interventions') leading to different kinds of outliers, we implement joint maximum likelihood estimation of model parameters and outlier sizes and we derive formulae for correcting the data for detected interventions. The effectiveness of the proposed methodology is illustrated with two real data examples. The first example offers a fresh data analytic point of view towards the polio data. Our methodology identifies different forms of outliers in these data by an observation-driven model. The second example deals with some campylobacterosis data which we analyzed in a previous communication, by a different model. The results are reconfirmed by the new model that we put forward in this communication. The reliability of the procedure is verified using artificial data examples. © 2012 SAGE Publications.