二元分析
自回归模型
负二项分布
数学
统计
二项式系数
整数(计算机科学)
计量经济学
应用数学
订单(交换)
负多项式分布
二项检验
β二项分布
计算机科学
离散数学
经济
财务
泊松分布
程序设计语言
标识
DOI:10.1080/03610918.2024.2363947
摘要
In this paper, a new bivariate random coefficient integer-valued autoregressive process based on modified negative binomial operator with dependent innovations is proposed. Basic probabilistic and statistical properties of this model are derived. To estimate unknown parameters, Yule-Walker, conditional least squares and conditional maximum likelihood methods are considered and evaluated by Monte Carlo simulations. Asymptotic properties of the estimators are derived. Moreover, coherent forecasting and possible extension of the proposed model is provided. Finally, the proposed model is applied to the monthly crime datasets and compared with other models.
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