On Estimation of the Bivariate Poisson INAR Process

In a recent article, Pedeli and Karlis (2010 Pedeli, X. and Karlis, D. 2010. A Bivariate INAR(1) Process with Application. Statistical Modelling: An international Journal, 11: 325–349. [Crossref], [Web of Science ®] , [Google Scholar]) examined the extension of the classical Integer–valued Autoregressive (INAR) model to the bivariate case. In the present article, we examine estimation methods for the case of bivariate Poisson innovations. This is a simple extension of the classical INAR model allowing for two discrete valued time series to be correlated. Properties of different estimators are given. We also compare their properties via a small simulation experiment. Extensions to incorporate covariate information is discussed. A real data application is also provided.