The manuscript proposes a new non-linear and non-stationary bivariate stochastic model, termed the two-dimensional Gaussian (generalized) Split-BREAK (2D-GSB) process, as a multivariate extension of the univariate GSB framework. The generalization consists in introducing a common threshold mechanism based on the norm of a bivariate innovation vector and a single synchronized Bernoulli indicator which jointly governs regime activation in both components. This structure induces cross-dependent regime shifts and yields a binomial–Gaussian mixture representation of the joint distribution, explicitly linking contemporaneous dependence with a common latent regime mechanism. The fundamental properties of the proposed model are established, with particular emphasis on its asymptotic behavior. Parameter estimation procedure is developed using both the method of moments (MoM) and the empirical characteristic function (ECF) approach, and their performance is evaluated through Monte Carlo simulations. An empirical application to daily crime data illustrates how the proposed framework captures synchronized structural shocks and heavy-tailed features in related crime categories. In comparison with a standard VAR(1) benchmark, the 2D-GSB specification provides a parsimonious yet substantially improved likelihood-based fit, thus offering a theoretically sound framework for analyzing multivariate time series characterized by synchronized regime shifts and heavy-tailed behavior.
Stojičić et al. (Tue,) studied this question.