This paper introduces a new multivariate model for time series count data. The Multivariate Autoregressive Conditional Poisson model (MACP) makes it possible to deal withissues of discreteness, overdispersion (variance greater thant then mean) and both auto- and crosscorrelation. We model counts...

Attack and defense strengths of football teams vary over time due to changes in the teams of players or their managers. We develop a statistical model for the analysis and forecasting of football match results which are assumed to come from a bivariate Poisson distribution with intensity...

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a simulation that our methodology performs similar to the...

The time-series nature of mortality rates lends itself to processing through neural networks that are specialized to deal with sequential data, such as recurrent and convolutional networks. Although appealing intuitively, a naive implementation of these networks does not lead to enhanced...

The number of Norwegian guest nights in Swedish hotels and cottages is studied. Aggregation of an integer-valued AR(1) model and a two-stage demand model underlies the empirical results. The parameters in the model are check-out probability, mean check-in and the probability of selecting the...

In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for quarterly data of twenty years' time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first, residual regression test table and second, Engle & Granger...

Chapter 1: Introduction -- Chapter 2: Environmental Impacts of Globalization -- Chapter 3: Generating Spatial Time Series on Interstate Commodity Flows -- Chapter 4: The Evolution of Commodity Flows and Associated Non-Point-Source Black Carbon Emissions in the Midwest-Northeast Transportation...

We propose a unified framework for estimating integrated variances and covariances based on simple OLS regressions allowing for a general market microstructure noise specification. We show that our estimators can outperform in terms of the root mean squared error criterion the most recent and...

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine...