Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Nonlinear Poisson autoregression
AU - Fokianos, K.
AU - Tjøstheim, D.
PY - 2012/12
Y1 - 2012/12
N2 - 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.
AB - 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.
KW - Geometric ergodicity
KW - Link function
KW - Maximum likelihood estimation
KW - Perturbation
KW - Smooth transition models
U2 - 10.1007/s10463-012-0351-3
DO - 10.1007/s10463-012-0351-3
M3 - Journal article
VL - 64
SP - 1205
EP - 1225
JO - Annals of the Institute of Statistical Mathematics
JF - Annals of the Institute of Statistical Mathematics
SN - 0020-3157
IS - 6
ER -