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A bivariate INAR(1) model with different thinning parameters

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Abstract

A bivariate integer-valued autoregressive time series model of order one is introduced. Regression coefficients of the model are random variables so the interaction between processes is stochastic. The dependance is achieved through survival components which are based on the binomial thinning operator. General form of the model is considered where counting series, which determine the survival components, are generated by different binomial distributions. Due to a large number of parameters, generalized method of moments and conditional maximum likelihood methods are suggested for parameters estimation and their asymptotic properties are established. Possible application of the model is discussed on real data.

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Acknowledgments

The author is grateful to the referees for valuable comments. The research of the author has been supported by Grant of MNTR 174026.

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Authors and Affiliations

  1. Faculty of Civil Engineering and Architecture, University of Niš, Aleksandra Medvedeva 14, 18000, Nis, Serbia

    Predrag M. Popović

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  1. Predrag M. Popović
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Correspondence to Predrag M. Popović.

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Popović, P.M. A bivariate INAR(1) model with different thinning parameters. Stat Papers 57, 517–538 (2016). https://doi.org/10.1007/s00362-015-0667-1

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  • DOI: https://doi.org/10.1007/s00362-015-0667-1

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