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

bivariate integer-valued autoregressiveestimationgeneralised quasi-likelihoodnon-stationaritysimulation

Mathematics Subject Classification ID

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

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Cites work

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• A GQL-based inference in non-stationary BINMA(1) time series
• A parametric time series model with covariates for integers in Z
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Cited in

(6)

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

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