Multivariate count autoregression

  title={Multivariate count autoregression},
  author={Paul Doukhan and Konstantinos Fokianos and Baard Stove and Dag Tj{\o}stheim},
We are studying the problems of modeling and inference for multivariate count time series data with Poisson marginals. The focus is on linear and log-linear models. For studying the properties of such processes we develop a novel conceptual framework which is based on copulas. However, our approach does not impose the copula on a vector of counts; instead the joint distribution is determined by imposing a copula function on a vector of associated continuous random variables. This specific… 
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