A copula-based bivariate integer-valued autoregressive process with application
Volume 6, Issue 2 (2019), pp. 227–249
Pub. online: 12 March 2019
Type: Research Article
Open Access
Open Access
Received
21 August 2018
21 August 2018
Revised
12 December 2018
12 December 2018
Accepted
28 January 2019
28 January 2019
Published
12 March 2019
12 March 2019
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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