Bivariate Random Coefficient Integer-Valued Autoregressive Model Based on a ρ-Thinning Operator

Abstract

While overdispersion is a common phenomenon in univariate count time series data, its exploration within bivariate contexts remains limited. To fill this gap, we propose a bivariate integer-valued autoregressive model. The model leverages a modified binomial thinning operator with a dispersion parameter ρ and integrates random coefficients. This approach combines characteristics from both binomial and negative binomial thinning operators, thereby offering a flexible framework capable of generating counting series exhibiting equidispersion, overdispersion, or underdispersion. Notably, our model includes two distinct classes of first-order bivariate geometric integer-valued autoregressive models: one class employs binomial thinning (BVGINAR(1)), and the other adopts negative binomial thinning (BVNGINAR(1)). We establish the stationarity and ergodicity of the model and estimate its parameters using a combination of the Yule–Walker (YW) and conditional maximum likelihood (CML) methods. Furthermore, Monte Carlo simulation experiments are conducted to evaluate the finite sample performances of the proposed estimators across various parameter configurations, and the Anderson-Darling (AD) test is employed to assess the asymptotic normality of the estimators under large sample sizes. Ultimately, we highlight the practical applicability of the examined model by analyzing two real-world datasets on crime counts in New South Wales (NSW) and comparing its performance with other popular overdispersed BINAR(1) models.