A Bivariate First-Order Autoregressive Time Series Model in Exponential Variables (BEAR(1))

DOI10.1287/MNSC.35.10.1236MaRDI QIDQ4732006zbMATH OpenOpenAlexFDO

Authors Lee S. Sen. Dewald, Peter A. W. Lewis, E.McKenzie

Publication date 1989

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.35.10.1236

zbMATH Keywords

BEAR(1) modelbivariate exponential variablescorrelation structure of ARMA(2,1) modelsfirst-order autoregressive structureGaussian AR(1) bivariate time series modellinear random coefficient difference equation modelNEAR(2)New Exponential Autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(13)

• Bivariate semi-Pareto distributions and processes
• Some properties of multivariate INAR(1) processes
• A bivariate uniform autoregressive process
• Estimation in a bivariate integer-valued autoregressive process
• A bivariate INAR(1) model with different thinning parameters
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• A geometric bivariate time series with different marginal parameters
• A generalization to bivariate Mittag-Leffler and bivariate discrete Mittag-Leffler autoregressive processes
• A Bivariate Beta-Gamma Autoregressive Process (BVBGAR(1))
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• A simple integer-valued bilinear time series model

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