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A bivariate \(INAR(1)\) time series model with geometric marginals. (English) Zbl 1239.62109

Summary: We introduce a simple bivariate integer-valued time series model with positively correlated geometric marginals based on the negative binomial thinning mechanism. Some properties of the model are considered. The unknown parameters of the model are estimated using the modified conditional least squares method.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H12 Estimation in multivariate analysis
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