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Inference for bivariate integer-valued moving average models based on binomial thinning operation

2020Journal article Open access
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dc.contributor.authorSilva, Isabel
dc.contributor.authorEduarda Silva, Maria
dc.contributor.authorTorres, Cristina
dc.date.accessioned2021-09-20T07:56:50Z
dc.date.available2021-09-20T07:56:50Z
dc.date.issued2020
dc.description.abstractTime series of (small) counts are common in practice and appear in a wide variety of fields. In the last three decades, several mod-els that explicitly account for the discreteness of the data have been proposed in the literature. However, for multivariate time series of counts several difficulties arise and the literature is not so detailed. This work considers Bivariate INteger-valued Moving Average, BINMA, models based on the binomial thinning operation. The main probabilistic and statistical properties of BINMA models are studied. Two parametric cases are analysed, one with the cross-correlation generated through a Bivariate Poisson innovation process and another with a Bivariate Negative Binomial innovation process. Moreover, parameter estimation is carried out by the Generalized Method of Moments. The performance of the model is illustrated with synthetic data as well as with real datasets.pt_PT
dc.description.sponsorshipThis work was partially supported by The Center for Research and Development in Mathematics and Applications (CIDMA) through the Portuguese Foundation for Science and Technology (FCT - Fundação para a Ciência e a Tecnologia), references UIDB/04106/2020 and UIDP/04106/2020.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1080/02664763.2020.1747411pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.22/18428
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherTaylor & Francispt_PT
dc.relation.publisherversionhttps://www.tandfonline.com/doi/full/10.1080/02664763.2020.1747411pt_PT
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/pt_PT
dc.subjectBivariate discrete distributionspt_PT
dc.subjectBivariate modelspt_PT
dc.subjectGeneralized method of momentspt_PT
dc.subjectMoving averagept_PT
dc.subjectTime series of countspt_PT
dc.titleInference for bivariate integer-valued moving average models based on binomial thinning operationpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/157514/PT
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/157829/PT
oaire.citation.endPage2564pt_PT
oaire.citation.issue13-15pt_PT
oaire.citation.startPage2546pt_PT
oaire.citation.titleJournal of Applied Statisticspt_PT
oaire.citation.volume47pt_PT
oaire.fundingStream6817 - DCRRNI ID
oaire.fundingStream6817 - DCRRNI ID
person.familyNamePereira Torres
person.givenNameCristina
person.identifier.ciencia-id111C-A2B8-EBB4
person.identifier.orcid0000-0002-8644-2381
person.identifier.ridA-7445-2017
person.identifier.scopus-author-id57212003105
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
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