[R] autoregressive poisson process

Michael Roberts MROBERTS at ers.usda.gov
Tue Dec 10 13:42:02 CET 2002


Dear R users,
 
I am trying to find a package that can estimate
an autoregressive model for discrete data.  I am 
imagining a Poisson or Gamma process in which the 
mean (say mu) follows a process such as
 
mu_t = a + b*x + c*mu_{t-1}
 
Suppose I have data on the time-series Poisson 
outcomes and x and would like to obtain ML estimates 
for b and c.
 
Does anyone know of a package that can do this or 
something similar in R?  My first (naive) instinct was
to use glm and the lagged outcome as a regressor,
but that isn't quite right.
 
Thanks very much,
 
Michael Roberts
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