A bivariate INAR(1) time series model with geometric marginals

A bivariate INAR(1) time series model with geometric marginals

In this paper we introduce a simple bivariate integer-valued time series model with positively correlated geometric marginals based on the negative binomial thinning mechanism. Some properties of the model are considered. The unknown parameters of the model are estimated using the modified conditional least squares method. © 2011 Elsevier Ltd. All rights reserved.

Worst-Case Expected Shortfall with Univariate and Bivariate Marginals

Worst-case bounds on the expected shortfall risk given only limited information on the distribution of the random variables has been studied extensively in the literature. In this paper, we develop a new worst-case bound on the expected shortfall when the univariate marginals are known exactly and additional expert information is available in terms of bivariate marginals. Such expert informatio...

Improving Efficient Marginal Estimators in Bivariate Models with Parametric Marginals

Suppose we have data from a bivariate model with parametric marginals. Efficient estimators of the parameters in the marginal models are generally not efficient in the bivariate model. In this article, we propose a method of improving these marginal estimators and demonstrate that the magnitude of this improvement can be as large as 100 percent in some cases.

Local Dependence in Bivariate Copulae with Beta Marginals

The local dependence function (LDF) describes changes in the correlation structure of continuous bivariate random variables along their range. Bivariate density functions with Beta marginals can be used to model jointly a wide variety of data with bounded outcomes in the (0,1) range, e.g. proportions. In this paper we obtain expressions for the LDF of bivariate densities constructed using three...

Estimation of Linear Functionals of Bivariate Distributions with Parametric Marginals