On the theory of periodic multivariate INAR processes

Cláudia Santos (), Isabel Pereira () and Manuel G. Scotto ()
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Cláudia Santos: University of Aveiro
Isabel Pereira: University of Aveiro
Manuel G. Scotto: IST University of Lisbon

Statistical Papers, 2021, vol. 62, issue 3, No 10, 1348 pages

Abstract: Abstract In this paper a multivariate integer-valued autoregressive model of order one with periodic time-varying parameters, and driven by a periodic innovations sequence of independent random vectors is introduced and studied in detail. Emphasis is placed on models with periodic multivariate negative binomial innovations. Basic probabilistic and statistical properties of the novel model are discussed. Aiming to reduce computational burden arising from the use of the conditional maximum likelihood method, a composite likelihood-based approach is adopted. The performance of such method is compared with that of some traditional competitors, namely moment estimators and conditional maximum likelihood estimators. Forecasting is also addressed. Furthermore, an application to a real data set concerning the monthly number of fires in three counties in Portugal is presented.

Keywords: Periodic autoregression; Binomial thinning operator; Parameter estimation (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00362-019-01136-5

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