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)
