Flexible bivariate INGARCH process with a broad range of contemporaneous correlation

DOI10.1111/JTSA.12663arXiv2011.08799OpenAlexW3099979995MaRDI QIDQ6135340FDOQ6135340

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

Publication date: 24 August 2023

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

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.

Full work available at URL: https://arxiv.org/abs/2011.08799

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)

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Cited In (1)

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