Poisson time series model / Mattias Villani | Observable

Mattias Villani

Professor of Statistics at Stockholm University

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Fork of Local level model

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Autoregressive processes - simulation and autocorrelation Autoregressive processes - simulation and priors Spectral density - ARMA(p,q) process Spectral density of a seasonal ARMA(p,q)×(P,Q) process ARTFIMA - Tempered fractional differencing Spectral density - ARTFIMA(p,q,d,λ)Piecewise constant model Local trend model Local level model Time-varying regression model

Poisson time series model

Stochastic volatility time series model Kalman filtering simulated local level data Kalman filtering Nile river data Identification of the mean in an AR(1) process Local level model with dynamic shrinkage process prior Identification of the mean in an AR(1) process Time-varying Poisson model with dynamic shrinkage process prior