On binary and categorical time series models with feedback

DOI10.1016/J.JMVA.2014.07.004zbMATH Open1298.62155arXiv1504.06185OpenAlexW2025045431MaRDI QIDQ406539FDOQ406539

Authors: Theodoros Moysiadis, Konstantinos Fokianos 

Publication date: 8 September 2014

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

Abstract: We introduce the concept of local dyadic stationarity, to account for non-stationary time series, within the framework of Walsh-Fourier analysis. We define and study the time varying dyadic ARMA models (tvDARMA). It is proven that the general tvDARMA process can be approximated locally by either a tvDMA and a tvDAR process.

Full work available at URL: https://arxiv.org/abs/1504.06185

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zbMATH Keywords

predictionlogistic regressionmultinomial regressionautocorrelationweak dependencehidden Markov modelscategorical datalatent processnominal data

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12)

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Cited In (22)

• Local stationarity and time-inhomogeneous Markov chains
• Multivariate time series models for mixed data
• Title not available (Why is that?)
• Strong mixing properties of discrete-valued time series with exogenous covariates
• A Bernoulli autoregressive moving average model applied to rainfall occurrence
• REGRESSION MODELS FOR NON‐STATIONARY CATEGORICAL TIME SERIES
• Forecasting binary outcomes in soccer
• Categorical time series models for contingency tables
• A note on using the maximum partial likelihood estimator of transition model for binary time series
• Stationarity and ergodic properties for some observation-driven models in random environments
• Pairwise likelihood inference for ordinal categorical time series
• Statistical analysis of multivariate discrete-valued time series
• Nonparametric estimation of dynamic discrete choice models for time series data
• Modeling and forecasting of at home activity in older adults using passive sensor technology
• Robust estimation for binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies
• Title not available (Why is that?)
• Modeling Time Series of Animal Behavior by Means of a Latent‐State Model with Feedback
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• On categorical time series models with covariates
• Modeling normalcy‐dominant ordinal time series: An application to air quality level
• A Class of Logistic Regression Models for Multivariate Binary Time Series
• Generalized autoregressive moving average models: an efficient estimation approach

Uses Software

• R
• Fahrmeir

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