Journal
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
Volume 42, Issue 3, Pages 514-533Publisher
TAYLOR & FRANCIS INC
DOI: 10.1080/03610918.2011.639001
Keywords
BINAR model; Count data; Bivariate Poisson distribution; Discrete valued time series
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In a recent article, Pedeli and Karlis (2010) examined the extension of the classical Integer- valued Autoregressive (INAR) model to the bivariate case. In the present article, we examine estimation methods for the case of bivariate Poisson innovations. This is a simple extension of the classical INAR model allowing for two discrete valued time series to be correlated. Properties of different estimators are given. We also compare their properties via a small simulation experiment. Extensions to incorporate covariate information is discussed. A real data application is also provided.
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