Integer-Valued Time Series Model via Copula-Based Bivariate Skellam Distribution

Time series analysis is crucial for modeling and forecasting diverse real-world phenomena. Traditional models typically assume continuous-valued data; however, many applications involve integer-valued series, often including negative integers. This paper introduces an approach that combines copula theory with the bivariate Skellam distribution to handle such integer-valued data effectively. Copulas are widely recognized for capturing complex dependencies among variables. By integrating copulas, our proposed method respects integer constraints while modeling positive, negative, and temporal dependencies accurately. Through simulation and an empirical study on a real-life example, we demonstrate that our class of models performs well. This approach has broad applicability in areas such as finance, epidemiology, and environmental science, where modeling series with integer values, both positive and negative, is essential.

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Publication Details

Journal
Journal of risk and financial management
Published
2026-01-02
DOI
https://doi.org/10.3390/jrfm19010027
Citations
1
Primary Topic
Financial Risk and Volatility Modeling
Type
article
Field-Weighted Citation Impact
59.40
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article

Integer-Valued Time Series Model via Copula-Based Bivariate Skellam Distribution

Mame Mor Sene, Mohammed Alqawba, Norou Diawara
1 citations
Journal of risk and financial management
Financial Risk and Volatility Modeling
59.40
article

Integer-Valued Time Series Model via Copula-Based Bivariate Skellam Distribution

Mame Mor Sene, Mohammed Alqawba, Norou Diawara
article en
1 citations

Abstract

Time series analysis is crucial for modeling and forecasting diverse real-world phenomena. Traditional models typically assume continuous-valued data; however, many applications involve integer-valued series, often including negative integers. This paper introduces an approach that combines copula theory with the bivariate Skellam distribution to handle such integer-valued data effectively. Copulas are widely recognized for capturing complex dependencies among variables. By integrating copulas, our proposed method respects integer constraints while modeling positive, negative, and temporal dependencies accurately. Through simulation and an empirical study on a real-life example, we demonstrate that our class of models performs well. This approach has broad applicability in areas such as finance, epidemiology, and environmental science, where modeling series with integer values, both positive and negative, is essential.

Journal of risk and financial managementVol. 19(1)
Qassim University (SA), Old Dominion University (US), Cheikh Anta Diop University (SN)
Openalex Percentile: Top 1%
Financial Risk and Volatility Modeling
59.40
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