Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - Økonomisk Institut, Københavns Universitet - 2008
, observation driven models, asymptotic theory.
1 Introduction
In this paper we study ergodicity and likelihood inference for a … observation driven models as defined by Cox (1981). This is so because
the unobserved process ‚t can be expressed as a function of … past values of the observed process
Yt, after repeated substitution. Observation driven models for time series of counts …