A BINAR(1) time-series model with cross-correlated COM–Poisson innovations

ABSTRACT

This article proposes a bivariate integer-valued autoregressive time-series model of order 1 (BINAR(1) with COM–Poisson marginals to analyze a pair of non stationary time series of counts. The interrelation between the series is induced by the correlated innovations, while the non stationarity is captured through a common set of time-dependent covariates that influence the count responses. The regression and dependence effects are estimated using generalized quasi-likelihood (GQL) approach. Simulation experiments are performed to assess the performance of the estimation algorithms. The proposed BINAR(1) process is applied to analyze a real-life series of day and night accidents in Mauritius.

KEYWORDS:

• Autoregressive
• Bivariate
• COM–Poisson
• Dispersion
• GQL
• Non stationarity

MATHEMATICS SUBJECT CLASSIFICATION:

• 62HXX
• 62FXX