A new bivariate INAR(1) model with paired Poisson-weighted exponential distributed innovations

• Published in: Communications in statistics. Simulation and computation Vol. 53; no. 12; pp. 5797 - 5815
• Main Authors: Sajjadnia, Zahra, Sharafi, Maryam, Mamode Khan, Naushad, Soobhug, Ashwinee Devi
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 01.12.2024; Taylor & Francis Ltd
• Subjects: Autoregressive models; Bivariate analysis; Bivariate new Poisson-weighted exponential distribution; Conditional maximum likelihood estimation; Innovations; Monte Carlo simulation; New weighted exponential distribution; Over-dispersion; Parameter estimation; Pearson Residuals; Sarmanov distribution

This paper proposes a novel Bivariate integer-valued auto-regressive model of order 1 with paired Poisson Weighted Exponential (PWE) distributed innovations which is denoted by INAR(1)-PWE with two Sarmanov and classical versions. The CML and CLS estimators of the parameters are obtained and the per...