Parameter estimation for binomial AR(1) models with applications in finance and industry

DOI10.1007/S00362-012-0449-YzbMATH Open1307.62061OpenAlexW1969981565MaRDI QIDQ2392708FDOQ2392708

Authors: Christian H. Weiß, Hee-Young Kim 

Publication date: 2 August 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-012-0449-y

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zbMATH Keywords

parameter estimationprocess capability indicesstock datathinning operations2-block jackknifebinomial \(\mathrm{AR}(1)\) model

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Discrete analogues of self-decomposability and stability
• Diagnostic checks for integer-valued autoregressive models using expected residuals
• Asymptotic properties of CLS estimators in the Poisson AR(1) model
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• Useful models for time series of counts or simply wrong ones?
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• Chain binomial models and binomial autoregressive processes
• Additive outliers in INAR(1) models
• A New Class of Autoregressive Models for Time Series of Binomial Counts
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• Jumps in binomial AR(1) processes
• The influence of parameter estimation on the ARL of Shewhart type charts for time series
• A process capability index for discrete processes
• Confidence intervals for the probability of success in the binomial distribution: A review

Cited In (37)

• A study for the NMBAR(1) processes
• Minimax optimal sequential hypothesis tests for Markov processes
• Computational methods for a copula-based Markov chain model with a binomial time series
• SPC methods for time-dependent processes of counts—A literature review
• Diagnosing and modeling extra-binomial variation for time-dependent counts
• First-order binomial autoregressive processes with Markov-switching coefficients
• A bivariate INAR(1) model with different thinning parameters
• One- and two-sided monitoring schemes for BINARCH(1) processes
• Change-point analysis for binomial autoregressive model with application to price stability counts
• Self-exciting threshold binomial autoregressive processes
• EWMA control charts for monitoring correlated counts with finite range
• Models for autoregressive processes of bounded counts: how different are they?
• Statistical analysis of the non-stationary binomial AR(1) model with change point
• Goodness-of-fit tests for binomial AR(1) processes
• BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING
• An ARL-unbiased modified \textit{np}-chart for autoregressive binomial counts
• A New Class of Autoregressive Models for Time Series of Binomial Counts
• Inference in binomial AR(1) models
• On ARL-unbiased c-charts for INAR(1) Poisson counts
• Binomial \(\mathrm{AR}(1)\) processes: moments, cumulants, and estimation
• \( \mathbb{Z} \)-valued time series: models, properties and comparison
• Testing the constancy of the thinning parameter in a random coefficient integer autoregressive model
• Asymptotic results of error density estimator in nonlinear autoregressive models
• A geometric bivariate time series with different marginal parameters
• Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
• A new INAR(1) process with bounded support for counts showing equidispersion, underdispersion and overdispersion
• Chain binomial models and binomial autoregressive processes
• Thinning-based models in the analysis of integer-valued time series: a review
• Title not available (Why is that?)
• Extended binomial AR(1) processes with generalized binomial thinning operator
• Bayesian empirical likelihood inference for the generalized binomial AR(1) model
• Constrained estimation for the binomial AR(1) model: on Bayesian approach
• Statistical inference for the covariates-driven binomial AR(1) process
• Analysis of zero-and-one inflated bounded count time series with applications to climate and crime data
• Asymptotic normality of error density estimator in stationary and explosive autoregressive models
• Binomial AR(1) processes with innovational outliers
• A binomial integer-valued ARCH model

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