Multivariate integer-valued autoregressive models applied to earthquake counts

Abstract : In various situations in the insurance industry, in finance, in epidemiology, etc., one needs to represent the joint evolution of the number of occurrences of an event. In this paper, we present a multivariate integer-valued autoregressive (MINAR) model, derive its properties and apply the model to earthquake occurrences across various pairs of tectonic plates. The model is an extension of Karlis & Pedelis (2011) where cross autocorrelation (spatial contagion in a seismic context) is considered. We fit various bivariate count models and find that for many contiguous tectonic plates, spatial contagion is significant in both directions. Furthermore, ignoring cross autocorrelation can underestimate the potential for high numbers of occurrences over the short-term. Our overall findings seem to further confirm Parsons & Velasco (2001).
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Soumis le : mercredi 30 novembre 2011 - 18:49:30
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  • HAL Id : hal-00646848, version 1

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Mathieu Boudreault, Arthur Charpentier. Multivariate integer-valued autoregressive models applied to earthquake counts. 2011. ⟨hal-00646848⟩

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