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...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
VTeX
2019-03-01
|
| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/19-VMSTA130 |