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A Bivariate DAR($1$) model for ordinal time series
Anna Nalpantidi, Dimitris Karlis
https://arxiv.org/abs/2510.05680 https://arxiv.org/pdf/2510.05680

A Bivariate DAR($1$) model for ordinal time series
We present a bivariate vector valued discrete autoregressive model of order $1$ (BDAR($1$)) for discrete time series. The BDAR($1$) model assumes that each time series follows its own univariate DAR($1$) model with dependent random mechanisms that determine from which component the current status occurs and dependent innovations. The joint distribution of the random mechanisms which are expressed by Bernoulli vectors are proposed to be defined through copulas. The same holds for the joint distr…