A copula-based bivariate integer-valued autoregressive process with application

A copula-based bivariate integer-valued autoregressive process with application

A bivariate integer-valued autoregressive process of order 1 (BINAR(1)) with copula-joint innovations is studied. Different parameter estimation methods are analyzed and compared via Monte Carlo simulations with emphasis on estimation of the copula dependence parameter. An empirical application on d...

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Bibliographic Details
Main Authors: Andrius Buteikis, Remigijus Leipus
Format: Article
Language:English
Published: VTeX 2019-03-01
Series:Modern Stochastics: Theory and Applications
Subjects:
Count data
BINAR
Poisson
negative binomial distribution
copula
FGM copula
Online Access:https://www.vmsta.org/doi/10.15559/19-VMSTA130

Internet

https://www.vmsta.org/doi/10.15559/19-VMSTA130

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