The Dynamic Skellam Model with Applications

A Retrospective Study on Skellam and Related Distributions

“…• Koopman, Lit, and Lucas (2014) presented a dynamic Skellam model with stochastically time varying intensities, where they replaced Y, y, λ 1 , and λ 2 in…”

“…Baroud (2011) used the Skellam AR model to analyse financial data. Koopman et al (2014) analyzed long univariate high-frequency time series of U.S. stock price changes using the dynamic Skellam model, which evolved as discrete multiples of a fixed tick size of one dollar cent. Alzaid and Omair (2014)…”

“…Koopman and Lit (2019) developed a multivariate model to analyse a high dimensional panel of football match results, wherein the score driven methodology is applied to three classes of models where one of them assumes the difference between the number of goals or the margin of victory of a team which is generated by Skellam distribution. Koopman et al (2014) analyzed the score differences between rival soccer teams using a large, unbalanced panel of seven seasons of weekly matches in the German Bundesliga. Bulla et al (2015) has applied the bivariate Skellam distribution and its extensions to the analysis of soccer results and also to analyze the score differences between rival soccer teams using a large, unbalanced panel of seven seasons of weekly matches in the German Bundeslig.…”

The market for English Premier League (EPL) odds

“…We build on their approach by using a difference of Poisson processes (a.k.a. Skellam process) for the discrete evolution of the scores of an EPL game, see also Ntzoufras (2003, 2009) and Koopman et al (2014). Early probabilistic models (Lee 1997) predicted the outcome of soccer matches using independent Poisson processes.…”

“…Using log differences as the dependent variable is another alternative with a state space evolution. Koopman et al (2014)…”