Nonlinear Poisson autoregression
Date
2012Source
Annals of the Institute of Statistical MathematicsVolume
64Issue
6Pages
1205-1225Google Scholar check
Keyword(s):
Metadata
Show full item recordAbstract
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.