Covariate‐Driven Doubly Stochastic Bivariate Integer‐Valued Autoregressive Processes

ABSTRACT

Autocorrelated bivariate count data frequently arise in criminal, environmental and financial studies, where capturing both serial dependence and cross‐series interaction is essential for statistical modelling and inference. In many applications, such dynamics are further influenced by exogenous covariates such as policy interventions or environmental factors, leading to time‐varying dependence structures that are not adequately captured by standard models. Existing bivariate integer‐valued autoregressive (BINAR) models mainly rely on constant or observation‐driven coefficients and rarely incorporate covariate information, which restricts their ability to represent evolving dependence in multivariate count processes. To address this limitation, we propose a covariate‐driven doubly stochastic bivariate integer‐valued autoregressive process, in which the thinning mechanism evolves jointly with past observations and exogenous covariates. This formulation extends the classical BINAR framework by allowing the dependence structure to vary dynamically under both internal and external driving mechanisms. The basic statistical properties of the proposed process are derived, and two estimation methods are developed, including an EM‐based algorithm. Monte Carlo simulations and a real data application are conducted to assess finite‐sample performance and robustness under different settings.