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On the theory of periodic multivariate INAR processes

Santos, Cláudia; Pereira, Isabel; Scotto, Manuel

Statistical Papers, 62 (2021), 1291-1348

In this paper a multivariate integer-valued autoregressive model of order one with periodic time-varying parameters, driven by a periodic innovations sequence of independent random vectors is introduced and studied in detail. Emphasis is placed on models with periodic multivariate negative binomial innovations. Basic probabilistic and statistical properties of the novel model are discussed. Aiming to reduce computational burden arising from the use of the conditional maximum likelihood method, a composite likelihood-based approach is adopted. The performance of such method is compared with that of some traditional competitors, namely moment estimators and conditional maximum likelihood estimators. Forecasting is also addressed. Furthermore, an application to a real data set concerning the monthly number of fires in three counties in Portugal is presented.