Generalized binary vector autoregressive processes

DOI10.1111/JTSA.12614MaRDI QIDQ5063327zbMATH OpenOpenAlexFDO

Authors Carsten Jentsch, Lena Reichmann

Publication date 17 March 2022

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

binary datamixing propertiesmulti-variate time seriesstationarity conditionstransition probabilitiesYule-Walker equations

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(4)

• Bernoulli vector autoregressive model
• Estimation for binary models generated by Gaussian autoregressive processes
• On the equivalence between the kinetic Ising model and discrete autoregressive processes
• Markov determinantal point process for dynamic random sets

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