Analysis of accumulated rounding errors in autoregressive processes

DOI10.1111/J.1467-9892.2010.00710.XMaRDI QIDQ5495697zbMATH OpenOpenAlexFDO

Authors Zhidong Bai, Weiming Li

Publication date 6 August 2014

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2010.00710.x

zbMATH Keywords

autoregressive processrounding erroraccumulative rounded autoregressive modelconditional maximum-likelihood estimation

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Discrete-time Markov processes on general state spaces (60J05)

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Cites work

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• Anova Under Categorisation
• Confidence Intervals Based on Rounded Data from the Balanced One-Way Normal Random Effects Model
• Errors in the Variables Bias in the Presence of Correctly Measured Variables
• Estimating Hazard Functions for Discrete Lifetimes
• First-order rounded integer-valued autoregressive (RINAR(l)) process
• Ignorability and coarse data
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Probabilistic rounding and Sheppard's correction
• Statistical analysis for rounded data
• Statistical inference using extreme order statistics
• The Influence of Numerical and Observational Errors on the Likelihood of an ARMA Series

Cited in

(7)

• Analysis of rounded data from dependent sequences
• Statistical analysis for rounded data
• Cumulants of a random variable distributed uniformly on the first n integers
• Bayesian statistical inference based on rounded data
• Rounded data analysis based on multi-layer ranked set sampling
• Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros
• Bias reduction when data are rounded

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