Computationally Efficient Poisson Time-Varying Autoregressive Models through Bayesian Lattice Filters
Estimation of time-varying autoregressive models for count-valued time series can be computationally challenging. In this direction, we propose a time-varying Poisson autoregressive (TV-Pois-AR) model that accounts for the changing intensity of the Poisson process. Our approach can capture the laten...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-10-01
|
| Series: | Stats |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2571-905X/6/4/65 |