A bivariate integer-valued bilinear autoregressive model with random coefficients

Predrag M. Popović () and Hassan S. Bakouch ()
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Predrag M. Popović: University of Niš
Hassan S. Bakouch: Tanta University

Statistical Papers, 2020, vol. 61, issue 5, No 2, 1819-1840

Abstract: Abstract This paper introduces a new bivariate autoregressive model with random coefficients for the time series of counts. It is composed of two components, the survival and the innovation component. The dependence between two series that comprise the bivariate model stems from both of these components. The introduced model is achieved by defining a bilinear model and the existence of a unique strict stationarity of it is proved. The method of moments is examined for parameters estimation. The practical aspect of the model is discussed by using a real-life data example.

Keywords: Time series of counts; Bivariate bilinear model; Thinning operator; Random coefficient; Bivariate geometric distribution (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00362-018-1005-1

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