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A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League
Author(s) -
Koopman Siem Jan,
Lit Rutger
Publication year - 2015
Publication title -
journal of the royal statistical society: series a (statistics in society)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.103
H-Index - 84
eISSN - 1467-985X
pISSN - 0964-1998
DOI - 10.1111/rssa.12042
Subject(s) - bivariate analysis , econometrics , poisson distribution , football , odds , statistical model , statistics , computer science , league , mathematics , geography , logistic regression , physics , archaeology , astronomy
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.