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14-18 August 2017
Uppsala University
Europe/Stockholm timezone

Copula based BINAR models with applications

18 Aug 2017, 11:00
30m
Ångströmslaboratoriet (Uppsala University)

Ångströmslaboratoriet

Uppsala University

Speaker

Speaker

Andrius Buteikis (Faculty of Mathematics and Informatics, Vilnius University)

Description

In this paper we study the problem of modelling the integer-valued vector observations. We consider the BINAR(1) models defined via copula-joint innovations. We review different parameter estimation methods and analyse estimation methods of the copula dependence parameter. We also examine the case where seasonality is present in integer-valued data and suggest a method of deseasonalizing them. Finally, an empirical application is carried out.

Primary author

Andrius Buteikis (Faculty of Mathematics and Informatics, Vilnius University)

Presentation Materials

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