Hi all, How can a multivariate Poisson time series be modeled? Aspects of glm, forecast, dse and dynlm seem relevant but not quite complete--but hopefully what I am missing is how to assemble them effectively. What I am looking to do is model my dependent variable y_t as a Poisson family function of lags of several independent variables and lags of y_t. I would like to include all lags up through t-n where n is specified and greater than 1, and have the lagged values weighted by a decay factor that increases exponentially with each time step further back in time from t. The time delay n of course I can construct by redefining my variables, but I'm still struggling with what functions will do the other aspects... but I have to think that someone has done this before. glm does Poisson but not time series explicitly, thus nor exponential decay Arima() from forecast does time series obviously but not multivariate prediction or decaying lags dse() does multivariate time series regression but not Poisson or decaying lags (or does it?) dynlm() does multivariate time series regression but not Poisson or decaying lags Suggestions? -- View this message in context: http://r.789695.n4.nabble.com/Multivariate-time-series-Poisson-with-delayed-lags-tp3068284p3068284.html Sent from the R help mailing list archive at Nabble.com.