Bernoulli vector autoregressive model

DOI10.1016/J.JMVA.2020.104599MaRDI QIDQ2306280zbMATH OpenOpenAlexFDO

Authors Ying Sun, Carolina Euán

Publication date 20 March 2020

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2020.104599

zbMATH Keywords

quasi-likelihoodvector autoregressive processmultivariate Bernoullicross-dependencymultivariate binary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Applications of statistics to environmental and related topics (62P12)

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Cites work

• scientific article; zbMATH DE number 3954111 (Why is no real title available?)
• A mixed autoregressive probit model for ordinal longitudinal data
• A new model for multivariate Markov chains
• A note on pseudolikelihood constructed from marginal densities
• A simple nonparametric method to estimate the expected time to cross a threshold
• A stochastic space-time model for intermittent precipitation occurrences
• Handbook of discrete-valued time series
• Logistic Regression for Correlated Binary Data
• Logistic regression and other discrete data models for serially correlated observations
• Modeling binary time series using Gaussian processes with application to predicting sleep states
• Multivariate Bernoulli distribution
• Predictive model assessment for count data
• Some representations of the multivariate Bernoulli and binomial distributions
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series

Cited in

(6)

• Generalized binary vector autoregressive processes
• Binomial autoregressive moving average models
• A class of non-reversible hypercube long-range random walks and Bernoulli autoregression
• Robust estimation for binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies
• A trivariate Bernoulli regression model
• Bivariate binomial autoregressive models

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