A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League

S.J. Koopman, R. Lit

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

Summary: We develop a statistical model for the analysis and forecasting of football match results which assumes a bivariate Poisson distribution with intensity coefficients that change stochastically over time. The dynamic model is a novelty in the statistical time series analysis of match results in team sports. Our treatment is based on state space and importance sampling methods which are computationally efficient. The out-of-sample performance of our methodology is verified in a betting strategy that is applied to the match outcomes from the 2010-2011 and 2011-2012 seasons of the English football Premier League. We show that our statistical modelling framework can produce a significant positive return over the bookmaker's odds.
Original languageEnglish
Pages (from-to)167-186
JournalJournal of the Royal Statistical Society. Series A. Statistics in Society
Volume178
Issue number1
DOIs
Publication statusPublished - 2015

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