A copula-based bivariate integer-valued autoregressive process with application

DOI10.15559/19-VMSTA130zbMath1426.60037arXiv1906.02183MaRDI QIDQ2326542

Remigijus Leipus, Andrius Buteikis

Publication date: 8 October 2019

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.02183

zbMATH Keywords

copulacount datanegative binomial distributionPoissonFrank copulaClayton copulaFGM copulaBINAR

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items

Flexible binomial AR(1) processes using copulas ⋮ An integer-valued autoregressive process for seasonality ⋮ On the evaluation of risk models with bivariate integer-valued time series

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