A Periodic Bivariate Integer-Valued Autoregressive Model

被引：7
|
作者：
Monteiro, Magda [1 ,2 ]
Scotto, Manuel G. [2 ,3 ]
Pereira, Isabel [2 ,3 ]
机构：
[1] Univ Aveiro, Escola Super Tecnol & Gestao Agueda, Aveiro, Portugal
[2] Univ Aveiro, CIDMA, Aveiro, Portugal
[3] Univ Aveiro, Dept Matemat, Aveiro, Portugal
来源：
DYNAMICS, GAMES AND SCIENCE | 2015年 / 1卷
关键词：
TIME-SERIES; IDENTIFICATION; FLOWS;
D O I：
10.1007/978-3-319-16118-1_24
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, a bivariate integer-valued autoregressive model with periodic structure is introduced and studied in some detail. The model can be view as a generalization of the one considered in Pedeli and Karlis (Stat. Model. 11:325-349, 2011). Emphasis is placed on models with periodic bivariate Poisson innovations. Basic probabilistic and statistical properties of the model are discussed as well as parameter estimation and forecasting. The proposed model is applied to a bivariate data series concerning the monthly number of fires in neighbor counties, Aveiro and Coimbra, in Portugal.
引用
收藏
页码：455 / 477
页数：23
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