The circumstance-driven bivariate integer-valued autoregressive model
Publication date
2024-02-15
Document type
Forschungsartikel
Author
Wang, Huiqiao
Organisational unit
ISSN
Series or journal
Entropy
Periodical volume
26
Periodical issue
2
Peer-reviewed
✅
Part of the university bibliography
✅
Keyword
CuBINAR model
Non-stationarity
Circumstance driven
Abstract
The novel circumstance-driven bivariate integer-valued autoregressive (CuBINAR) model for non-stationary count time series is proposed. The non-stationarity of the bivariate count process is defined by a joint categorical sequence, which expresses the current state of the process. Additional cross-dependence can be generated via cross-dependent innovations. The model can also be equipped with a marginal bivariate Poisson distribution to make it suitable for low-count time series. Important stochastic properties of the new model are derived. The Yule–Walker and conditional maximum likelihood method are adopted to estimate the unknown parameters. The consistency of these estimators is established, and their finite-sample performance is investigated by a simulation study. The scope and application of the model are illustrated by a real-world data example on sales counts, where a soap product in different stores with a common circumstance factor is investigated.
Description
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
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Published version
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