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autocorrelation
2002 Dec 10
1
autoregressive poisson process
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