کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
415602 681216 2013 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Some properties of multivariate INAR(1) processes
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Some properties of multivariate INAR(1) processes
چکیده انگلیسی

INteger-valued AutoRegressive (INAR) processes are common choices for modeling non-negative discrete valued time series. In this framework and motivated by the frequent occurrence of multivariate count time series data in several different disciplines, a generalized specification of the bivariate INAR(1) (BINAR(1)) model is considered. In this new, full BINAR(1) process, dependence between the two series stems from two sources simultaneously. The main focus is on the specific parametric case that arises under the assumption of a bivariate Poisson distribution for the innovations of the process. As it is shown, such an assumption gives rise to a Hermite BINAR(1) process. The method of conditional maximum likelihood is suggested for the estimation of its unknown parameters. A short application on financial count data illustrates the model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 67, November 2013, Pages 213–225
نویسندگان
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