Analysis of accumulated rounding errors in autoregressive processes

DOI10.1111/J.1467-9892.2010.00710.XzbMATH Open1294.62182OpenAlexW1574869324MaRDI QIDQ5495697FDOQ5495697

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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Cited In (4)

• 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
• Bias reduction when data are rounded

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