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INAR approximation of bivariate linear birth and death process

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  • Chen, Zezhun Chen
  • Dassios, Angelos
  • Tzougas, George

Abstract

In this paper, we propose a new type of univariate and bivariate Integer-valued autoregressive model of order one (INAR(1)) to approximate univariate and bivariate linear birth and death process with constant rates. Under a specific parametric setting, the dynamic of transition probabilities and probability generating function of INAR(1) will converge to that of birth and death process as the length of subintervals goes to 0. Due to the simplicity of Markov structure, maximum likelihood estimation is feasible for INAR(1) model, which is not the case for bivariate and multivariate birth and death process. This means that the statistical inference of bivariate birth and death process can be achieved via the maximum likelihood estimation of a bivariate INAR(1) model.

Suggested Citation

  • Chen, Zezhun Chen & Dassios, Angelos & Tzougas, George, 2023. "INAR approximation of bivariate linear birth and death process," LSE Research Online Documents on Economics 118769, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:118769
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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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