2018
DOI: 10.48550/arxiv.1806.04892
|View full text |Cite
Preprint
|
Sign up to set email alerts
|
Jamie Halliday,
Georgi N. Boshnakov

Abstract: This paper introduces multivariate Poisson autoregressive models with exogenous covariates (PoARX) for modelling multivariate time series of counts. We obtain conditions for the PoARX process to be stationary and ergodic before proposing a computationally efficient procedure for estimation of parameters by the method of inference functions (IFM) and obtaining asymptotic normality of these estimators. Lastly, we demonstrate an application to count data for the number of people entering and exiting a building, a… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

0
0
0

Publication Types

Select...

Relationship

0
0

Authors

Journals

citations
Cited by 0 publications
references
References 26 publications
(40 reference statements)
0
0
0
Order By: Relevance

No citations

Set email alert for when this publication receives citations?