A non‐stationary bivariate INAR(1) process with a simple cross‐dependence: Estimation with some properties

DOI10.1111/ANZS.12285MaRDI QIDQ6167979zbMATH OpenOpenAlexFDO

Authors

Publication date 8 August 2023

Published in Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/anzs.12285

zbMATH Keywords

simulationestimationnon-stationaritybivariate integer-valued autoregressivegeneralised quasi-likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

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Cites work

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• A BINAR(1) time-series model with cross-correlated COM–Poisson innovations
• A GQL estimation approach for analysing non-stationary over-dispersed BINAR(1) time series
• A GQL-based inference in non-stationary BINMA(1) time series
• A bivariate INAR(1) process with application
• A bivariate \(INAR(1)\) time series model with geometric marginals
• A geometric bivariate time series with different marginal parameters
• A parametric time series model with covariates for integers in Z
• Bivariate Time Series Modeling of Financial Count Data
• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
• Estimation in a bivariate integer-valued autoregressive process
• Investigating GQL-based inferential approaches for non-stationary BINAR(1) model under different quantum of over-dispersion with application
• Modelling a non-stationary BINAR(1) Poisson process
• On generating multivariate Poisson data in management science applications
• Prediction and classification of non-stationary categorical time series
• REGRESSION IN THE BIVARIATE POISSON DISTRIBUTION
• Random environment integer-valued autoregressive process
• Remarks on asymptotic efficient estimation for regression effects in stationary and nonstationary models for panel count data
• Some properties of multivariate INAR(1) processes
• Thinning operations for modeling time series of counts -- a survey

Cited in

(5)

• On periodic integer-valued moving average (INMA (q)) models
• BINAR(1) negative binomial model for bivariate non-stationary time series with different over-dispersion indices
• A bivariate INAR(1) process with application
• On composite likelihood estimation of a multivariate INAR(1) model
• A flexible observation-driven stationary bivariate negative binomial INAR(1) with non-homogeneous levels of over-dispersion

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