Generalized binary vector autoregressive processes

DOI10.1111/JTSA.12614zbMath1493.62527OpenAlexW3188450403MaRDI QIDQ5063327

Lena Reichmann, Carsten Jentsch

Publication date: 17 March 2022

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12614

zbMATH Keywords

transition probabilitiesbinary datastationarity conditionsmixing propertiesYule-Walker equationsmulti-variate time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multivariate Bernoulli distribution
• Generalized choice models for categorical time series
• Measuring serial dependence in categorical time series
• Basic properties of strong mixing conditions. A survey and some open questions
• Mixing: Properties and examples
• Multivariate regression analysis of panel data with binary outcomes applied to unemployment data
• Regression theory for categorical time series
• Weak dependence. With examples and applications.
• Empirical measures of signed serial dependence in categorical time series
• STATIONARY DISCRETE AUTOREGRESSIVE-MOVING AVERAGE TIME SERIES GENERATED BY MIXTURES
• Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
• Properties of a class of binary ARMA models

This page was built for publication: Generalized binary vector autoregressive processes