Some ARMA models for dependent sequences of poisson counts
1988 ◽
Vol 20
(4)
◽
pp. 822-835
◽
Keyword(s):
A family of models for discrete-time processes with Poisson marginal distributions is developed and investigated. They have the same correlation structure as the linear ARMA processes. The joint distribution of n consecutive observations in such a process is derived and its properties discussed. In particular, time-reversibility and asymptotic behaviour are considered in detail. A vector autoregressive process is constructed and the behaviour of its components, which are Poisson ARMA processes, is considered. In particular, the two-dimensional case is discussed in detail.
1988 ◽
Vol 20
(04)
◽
pp. 822-835
◽
2000 ◽
Vol 21
(4)
◽
pp. 435-456
◽
2017 ◽
Vol 6
(2)
◽
pp. 1
2004 ◽
Vol 90
(2)
◽
pp. 327-347
◽