Maximum Likelihood Estimation for an Observation Driven Model for Poisson Counts
نویسندگان
چکیده
This paper is concerned with an observation driven model for time series of counts whose conditional distribution given past observations follows a Poisson distribution. This class of models, called GLARMA, is capable of modeling a wide range of dependence structures and is readily estimated using conditional maximum likelihood. Recursive formulae for carrying out maximum likelihood estimation are provided and the technical components required for establishing a central limit theorem of the maximum likelihood estimates are given in a special case.
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