Bernoulli difference time series models

MaRDI QIDQ5207214zbMATH OpenFDO

Authors Abdulhamid A. Alzaid, Maha A. Omair, Weaam M. Alhadlaq

Publication date 8 January 2020

Full work available at URL http://chjs.mat.utfsm.cl/volumes/07/01/Alzaid_etal(2016).pdf#vol7-number1-2016

zbMATH Keywords

Bernoulli difference distributionJacobs-Lewis modelMarkov modelstock markettime series model

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A p-order signed integer-valued autoregressive (SINAR(p)) model
• A bivariate first-order signed integer-valued autoregressive process
• A non-stationary integer-valued autoregressive model
• A trinomial difference distribution
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• scientific article; zbMATH DE number 3583162 (Why is no real title available?)
• scientific article; zbMATH DE number 3604240 (Why is no real title available?)
• Poisson difference integer valued autoregressive model of order one
• STATIONARY DISCRETE AUTOREGRESSIVE-MOVING AVERAGE TIME SERIES GENERATED BY MIXTURES

Cited in

(2)

• Bernoulli vector autoregressive model
• \( \mathbb{Z} \)-valued time series: models, properties and comparison

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