A discrete valued time series model;
The polio dataset

ADMB Files
Code: polio.tpl
Data: polio.dat
Initial values: polio.pin
Expected Results: polio-expected-results.par

Model description

As an example of a discrete valued time series we use the 'polio data' considered by Kuk & Cheng (1999). It is assumed that yi has a Poisson (li) distribution, where

log(li) = Xib + ui.

Here, Xi is a covariate vector, b is a vector of regression parameters and ui is a first order autoregressive process

ui = r*ui-1 + ei.

Further details about the model can be found here: polio.pdf.