Multivariate count autoregression
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Publication:2278669
autocorrelationcopulaergodicitygeneralized linear modelsperturbationpredictionstationarityvolatility
Asymptotic properties of parametric estimators (62F12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Abstract: We are studying the problems of modeling and inference for multivariate count time series data with Poisson marginals. The focus is on linear and log-linear models. For studying the properties of such processes we develop a novel conceptual framework which is based on copulas. However, our approach does not impose the copula on a vector of counts; instead the joint distribution is determined by imposing a copula function on a vector of associated continuous random variables. This specific construction avoids conceptual difficulties resulting from the joint distribution of discrete random variables yet it keeps the properties of the Poisson process marginally. We employ Markov chain theory and the notion of weak dependence to study ergodicity and stationarity of the models we consider. We obtain easily verifiable conditions for both linear and log-linear models under both theoretical frameworks. Suitable estimating equations are suggested for estimating unknown model parameters. The large sample properties of the resulting estimators are studied in detail. The work concludes with some simulations and a real data example.
Linear and log-linear models are studied for multivariate count time series data with Poisson marginals. A copula function is introduced on a vector of associated continuous random variables. The conditions for ergodicity and stationarity are derived based on a perturbation approach in Markov chain theory and theory of weak dependence. Quasi-likelihood estimating functions are suggested that yield consistent and asymptotically normal estimators of model parameters. A limited simulation study and a real data example illustrate the results.
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