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• W2025585962 abstract "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." @default.
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• W2025585962 date "2013-11-01" @default.
• W2025585962 modified "2023-10-17" @default.
• W2025585962 title "Some properties of multivariate INAR(1) processes" @default.
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• W2025585962 doi "https://doi.org/10.1016/j.csda.2013.05.019" @default.
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