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Multivariate Count Time Series Modelling

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  • Fokianos, Konstantinos

Abstract

Autoregressive models are reviewed for the analysis of multivariate count time series. A particular topic of interest which is discussed in detail is that of the choice of a suitable distribution for a vectors of count random variables. The focus is on three main approaches taken for multivariate count time series analysis: (a) integer autoregressive processes, (b) parameter-driven models and (c) observation-driven models. The aim is to highlight some recent methodological developments and propose some potentially useful research topics.

Suggested Citation

  • Fokianos, Konstantinos, 2024. "Multivariate Count Time Series Modelling," Econometrics and Statistics, Elsevier, vol. 31(C), pages 100-116.
    • Handle: RePEc:eee:ecosta:v:31:y:2024:i:c:p:100-116
    DOI: 10.1016/j.ecosta.2021.11.006
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