A Bivariate Beta-Gamma Autoregressive Process (BVBGAR(1))

In this article, we introduce a bivariate autoregressive process with Gamma marginal distributions using the form of the BGAR(2) process (Risti?, 2005 Risti? , M. M. ( 2005 ). A Beta-Gamma autoregressive process of the second-order (BGAR(2)) . Statist. Probab. Lett. 73 : 403 – 410 . [Google Scholar]) and the Beta-Gamma transformation. Some properties of the process such as the autocovariance matrix, the autocorrelation matrix, and the spectral density matrix are derived. The unknown parameters of the process are estimated using the method of moments and the method of conditional least squares. Some numerical results of the estimators are given. We investigate nonparametric and parametric estimation of the spectral density matrix of this process.