Modelling a non-stationary BINAR(1) Poisson process

摘要

Non-stationarity in bivariate time series of counts may be induced by a number of time-varying covariates affecting the bivariate responses due to which the innovation terms of the individual series as well as the bivariate dependence structure becomes non-stationary. So far, in the existing models, the innovation terms of individual INAR(1) series and the dependence structure are assumed to be constant even though the individual time series are non-stationary. Under this assumption, the reliability of the regression and correlation estimates is questionable. Besides, the existing estimation methodologies such as the conditional maximum likelihood (CMLE) and the composite likelihood estimation are computationally intensive. To address these issues, this paper proposes a BINAR(1) model where the innovation series follow a bivariate Poisson distribution under some non-stationary distributional assumptions. The method of generalized quasi-likelihood (GQL) is used to estimate the regression effects while the serial and bivariate correlations are estimated using a robust moment estimation technique. The application of model and estimation method is made in the simulated data. The GQL method is also compared with the CMLE, generalized method of moments (GMM) and generalized estimating equation (GEE) approaches where through simulation studies, it is shown that GQL yields more efficient estimates than GMM and equally or slightly more efficient estimates than CMLE and GEE.