Some ARMA models for dependent sequences of poisson counts

Abstract

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.