Goodness-of-fit testing in bivariate count time series based on a bivariate dispersion index

被引:1
|
作者
Wang, Huiqiao [1 ]
Weiss, Christian H. [2 ]
Zhang, Mingming [1 ]
机构
[1] Minist Agr & Rural Affairs, Biogas Inst, Renmin Rd, Chengdu 610041, Peoples R China
[2] Helmut Schmidt Univ, Dept Math & Stat, Holstenhofweg 85, D-22043 Hamburg, Germany
关键词
Asymptotic distribution; Bivariate dispersion index; Bivariate INAR(1) model; Bivariate Poisson distribution; Count time series; POISSON INAR(1);
D O I
10.1007/s10182-024-00512-3
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
A common choice for the marginal distribution of a bivariate count time series is the bivariate Poisson distribution. In practice, however, when the count data exhibit zero inflation, overdispersion or non-stationarity features, such that a marginal bivariate Poisson distribution is not suitable. To test the discrepancy between the actual count data and the bivariate Poisson distribution, we propose a new goodness-of-fit test based on a bivariate dispersion index. The asymptotic distribution of the test statistic under the null hypothesis of a first-order bivariate integer-valued autoregressive model with marginal bivariate Poisson distribution is derived, and the finite-sample performance of the goodness-of-fit test is analyzed by simulations. A real-data example illustrate the application and usefulness of the test in practice.
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页数:39
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