Parameter estimation for binomial AR(1) models with applications in finance and industry
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Publication:2392708
parameter estimationprocess capability indicesstock datathinning operations2-block jackknifebinomial \(\mathrm{AR}(1)\) model
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)
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Cites work
- scientific article; zbMATH DE number 3174032 (Why is no real title available?)
- scientific article; zbMATH DE number 2154348 (Why is no real title available?)
- A New Class of Autoregressive Models for Time Series of Binomial Counts
- A process capability index for discrete processes
- Additive outliers in INAR(1) models
- Asymptotic properties of CLS estimators in the Poisson AR(1) model
- Chain binomial models and binomial autoregressive processes
- Confidence intervals for the probability of success in the binomial distribution: A review
- Diagnostic checks for integer-valued autoregressive models using expected residuals
- Discrete analogues of self-decomposability and stability
- Estimation in conditional first order autoregression with discrete support
- First-order random coefficient integer-valued autoregressive processes
- Inference in binomial AR(1) models
- Jumps in binomial AR(1) processes
- Limit theorems for discrete-time metapopulation models
- Monitoring correlated processes with binomial marginals
- Poisson autoregression
- Process capability analysis for serially dependent processes of Poisson counts
- The influence of parameter estimation on the ARL of Shewhart type charts for time series
- Thinning operations for modeling time series of counts -- a survey
- Time series of count data: Modeling, estimation and diagnostics
- Useful models for time series of counts or simply wrong ones?
Cited in
(37)- On ARL-unbiased c-charts for INAR(1) Poisson counts
- BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING
- Statistical analysis of the non-stationary binomial AR(1) model with change point
- Binomial AR(1) processes with innovational outliers
- A study for the NMBAR(1) processes
- A geometric bivariate time series with different marginal parameters
- A bivariate INAR(1) model with different thinning parameters
- Analysis of zero-and-one inflated bounded count time series with applications to climate and crime data
- Binomial \(\mathrm{AR}(1)\) processes: moments, cumulants, and estimation
- One- and two-sided monitoring schemes for BINARCH(1) processes
- Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
- Change-point analysis for binomial autoregressive model with application to price stability counts
- Inference in binomial AR(1) models
- Self-exciting threshold binomial autoregressive processes
- Diagnosing and modeling extra-binomial variation for time-dependent counts
- A New Class of Autoregressive Models for Time Series of Binomial Counts
- An ARL-unbiased modified \textit{np}-chart for autoregressive binomial counts
- Asymptotic normality of error density estimator in stationary and explosive autoregressive models
- Bayesian empirical likelihood inference for the generalized binomial AR(1) model
- \( \mathbb{Z} \)-valued time series: models, properties and comparison
- EWMA control charts for monitoring correlated counts with finite range
- Chain binomial models and binomial autoregressive processes
- Asymptotic results of error density estimator in nonlinear autoregressive models
- SPC methods for time-dependent processes of counts—A literature review
- Statistical inference for the covariates-driven binomial AR(1) process
- A new INAR(1) process with bounded support for counts showing equidispersion, underdispersion and overdispersion
- Testing the constancy of the thinning parameter in a random coefficient integer autoregressive model
- Minimax optimal sequential hypothesis tests for Markov processes
- Thinning-based models in the analysis of integer-valued time series: a review
- A binomial integer-valued ARCH model
- Computational methods for a copula-based Markov chain model with a binomial time series
- Goodness-of-fit tests for binomial AR(1) processes
- First-order binomial autoregressive processes with Markov-switching coefficients
- scientific article; zbMATH DE number 7660125 (Why is no real title available?)
- Constrained estimation for the binomial AR(1) model: on Bayesian approach
- Models for autoregressive processes of bounded counts: how different are they?
- Extended binomial AR(1) processes with generalized binomial thinning operator
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