bifurcatingr

CRANbifurcatingrMaRDI QIDQ129840

Bifurcating Autoregressive Models

Sayed Mostafa, Tamer Elbayoumi

Last update: 22 June 2023

Copyright license: Affero General Public License

Software version identifier: 1.0.0, 2.0.0

Description

Estimation of bifurcating autoregressive models of any order, p, BAR(p) as well as several types of bias correction for the least squares estimators of the autoregressive parameters as described in Zhou and Basawa (2005) <doi:10.1016/j.spl.2005.04.024> and Elbayoumi and Mostafa (2020) <doi:10.1002/sta4.342>. Currently, the bias correction methods supported include bootstrap (single, double and fast-double) bias correction and linear-bias-function-based bias correction. Functions for generating and plotting bifurcating autoregressive data from any BAR(p) model are also included. This new version includes calculating several type of bias-corrected and -uncorrected confidence intervals for the least squares estimators of the autoregressive parameters as described in Elbayoumi and Mostafa (2023) <doi:10.6339/23-JDS1092>.

Cites work

• Least-squares estimation for bifurcating autoregressive processes
• On the estimation bias in first‐order bifurcating autoregressive models
• Impact of Bias Correction of the Least Squares Estimation on Bootstrap Confidence Intervals for Bifurcating Autoregressive Models