Flexible bivariate INGARCH process with a broad range of contemporaneous correlation

DOI10.1111/JTSA.12663MaRDI QIDQ6135340zbMATH OpenOpenAlexFDO

Authors Luiza Sette C. Piancastelli, Wagner Barreto-Souza, Hernando C. Ombao

Publication date 24 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.08799, http://hdl.handle.net/10754/666188

zbMATH Keywords

asymptoticsergodicitycross-correlationmultivariate count time seriesstability theory

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

Abstract: We propose a novel flexible bivariate conditional Poisson (BCP) INteger-valued Generalized AutoRegressive Conditional Heteroscedastic (INGARCH) model for correlated count time series data. Our proposed BCP-INGARCH model is mathematically tractable and has as the main advantage over existing bivariate INGARCH models its ability to capture a broad range (both negative and positive) of contemporaneous cross-correlation which is a non-trivial advancement. Properties of stationarity and ergodicity for the BCP-INGARCH process are developed. Estimation of the parameters is performed through conditional maximum likelihood (CML) and finite sample behavior of the estimators are investigated through simulation studies. Asymptotic properties of the CML estimators are derived. Additional simulation studies compare and contrast methods of obtaining standard errors of the parameter estimates, where a bootstrap option is demonstrated to be advantageous. Hypothesis testing methods for the presence of contemporaneous correlation between the time series are presented and evaluated. We apply our methodology to monthly counts of hepatitis cases at two nearby Brazilian cities, which are highly cross-correlated. The data analysis demonstrates the importance of considering a bivariate model allowing for a wide range of contemporaneous correlation in real-life applications.

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Cited in

(1)

• A multivariate heavy-tailed integer-valued GARCH process with EM algorithm-based inference

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