A bivariate INAR(1) time series model with geometric marginals
نویسندگان
چکیده
In this paper we introduce a simple bivariate integer-valued time series model with positively correlated geometric marginals based on the negative binomial thinning mechanism. Some properties of the model are considered. The unknown parameters of the model are estimated using the modified conditional least squares method. © 2011 Elsevier Ltd. All rights reserved.
منابع مشابه
Integer Valued AR(1) with Geometric Innovations
The classical integer valued first-order autoregressive (INA- R(1)) model has been defined on the basis of Poisson innovations. This model has Poisson marginal distribution and is suitable for modeling equidispersed count data. In this paper, we introduce an modification of the INAR(1) model with geometric innovations (INARG(1)) for model- ing overdispersed count data. We discuss some structu...
متن کاملA bivariate INAR(1) process with application
The study of time series models for count data has become a topic of special interest during the last years. However, while research on univariate time series for counts now flourish, the literature on multivariate time series models for count data is notably more limited. In the present paper, a bivariate integer-valued autoregressive process of order 1 (BINAR(1)) is introduced. Emphasis is pl...
متن کاملBootstrapping INAR Models
Integer-valued autoregressive (INAR) time series form a very useful class of processes suitable to model time series of counts. In the common formulation of Du and Li (1991, JTSA), INAR models of order p share the autocorrelation structure with classical autoregressive time series. This fact allows to estimate the INAR coefficients, e.g., by Yule-Walker estimators. However, contrary to the AR c...
متن کاملA bivariate infinitely divisible distribution with exponential and Mittag–Leffler marginals
We introduce a bivariate distribution supported on the first quadrant with exponential, and heavy tailed Mittag–Leffer, marginal distributions. Although this distribution belongs to the class of geometric operator stable laws, it is a rather special case that does not follow their general theory. Our results include the joint density and distribution function, Laplace transform, conditional dis...
متن کاملFederal University of Pernambuco Centre for Natural and Exact Sciences Graduate Program in Statistics Modelling and Inference in Integer-valued Time Series
Time series of counts have been the focus of attention due to their importance in several areas of knowledge. The usual stochastic processes assume continuous marginal distributions and therefore are not suitable for modeling series of counts. Thus arises the need to investigate methodologies for time series with discrete marginal distributions. In particular, the study of new models and the be...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Appl. Math. Lett.
دوره 25 شماره
صفحات -
تاریخ انتشار 2012