Flexible Bivariate INAR(1) Processes Using Copulas

DOI10.1080/03610926.2012.754466zbMath1347.62194OpenAlexW2025921222MaRDI QIDQ4921634

Xanthi Pedeli, Dimitris Karlis

Publication date: 13 May 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.754466

zbMATH Keywords

count dataFrank copulanegative correlation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• On modeling count data: a comparison of some well-known discrete distributions
• Copula-based regression models: a survey
• Finite normal mixture copulas for multivariate discrete data modeling
• Discrete distributions in the extended FGM family: the p.g.f. Approach
• Discrete analogues of self-decomposability and stability
• Finite mixtures of multivariate Poisson distributions with application
• First-order rounded integer-valued autoregressive (RINAR(1)) process
• Bivariate Time Series Modeling of Financial Count Data
• The Multivariate Ginar(p) Process
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
• Difference Equations for the Higher‐Order Moments and Cumulants of the INAR(1) Model
• Analysis of low count time series data by poisson autoregression
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• A Primer on Copulas for Count Data

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