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arXiv · 1906.02183

A copula-based bivariate integer-valued autoregressive process with application

Andrius Buteikis·Remigijus Leipus
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Abstract

A bivariate integer-valued autoregressive process of order 1 (BINAR(1)) with copula-joint innovations is studied. Different parameter estimation methods are analyzed and compared via Monte Carlo simulations with emphasis on estimation of the copula dependence parameter. An empirical application on defaulted and non-defaulted loan data is carried out using different combinations of copula functions and marginal distribution functions covering the cases where both marginal distributions are from the same family, as well as the case where they are from different distribution families.

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Andrius Buteikis, Remigijus Leipus. 2019-06-05. A copula-based bivariate integer-valued autoregressive process with application. https://doi.org/10.15559/19-vmsta130

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