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A bivariate INAR(1) time series model with geometric marginals
Journal article   Peer reviewed

A bivariate INAR(1) time series model with geometric marginals

Miroslav M. Ristić, Aleksandar S. Nastić, K. Jayakumar and Hassan S. Bakouch
Applied mathematics letters, Vol.25(3), pp.481-485
01/03/2012
DOI: https://doi.org/10.1016/j.aml.2011.09.040

Abstract

Bivariate integer-valued time series model INAR model Negative binomial thinning
In this paper we introduce a simple bivariate integer-valued time series model with positively correlated geometric marginals based on the negative binomial thinning mechanism. Some properties of the model are considered. The unknown parameters of the model are estimated using the modified conditional least squares method.

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