کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1145980 1489675 2014 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Bivariate binomial autoregressive models
ترجمه فارسی عنوان
مدل های خودمختلف دو جانبه دوبعدی
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
چکیده انگلیسی

This paper introduces new classes of bivariate time series models being useful to fit count data time series with a finite range of counts. Motivation comes mainly from the comparison of schemes for monitoring tourism demand, stock data, production and environmental processes. All models are based on the bivariate binomial distribution of Type II. First, a new family of bivariate integer-valued GARCH models is proposed. Then, a new bivariate thinning operation is introduced and explained in detail. The new thinning operation has a number of advantages including the fact that marginally it behaves as the usual binomial thinning operation and also that allows for both positive and negative cross-correlations. Based upon this new thinning operation, a bivariate extension of the binomial autoregressive model of order one is introduced. Basic probabilistic and statistical properties of the model are discussed. Parameter estimation and forecasting are also covered. The performance of these models is illustrated through an empirical application to a set of rainy days time series collected from 2000 up to 2010 in the German cities of Bremen and Cuxhaven.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 125, March 2014, Pages 233–251
نویسندگان
, , , ,