Binomial AR(1) processes: moments, cumulants, and estimation
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Weiss, Christian H. | - |
dc.contributor.author | Kim, Hee-Young | - |
dc.date.accessioned | 2021-09-06T00:44:25Z | - |
dc.date.available | 2021-09-06T00:44:25Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2013-06-01 | - |
dc.identifier.issn | 0233-1888 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/102995 | - |
dc.description.abstract | The modelling and analysis of count-data time series are areas of emerging interest with various applications in practice. We consider the particular case of the binomial AR(1) model, which is well suited for describing binomial counts with a first-order autoregressive serial dependence structure. We derive explicit expressions for the joint (central) moments and cumulants up to order 4. Then, we apply these results for expressing moments and asymptotic distribution of the squared difference estimator as an alternative to the sample autocovariance. We also analyse the asymptotic distribution of the conditional least-squares estimators of the parameters of the binomial AR(1) model. The finite-sample performance of these estimators is investigated in a simulation study, and we apply them to real data about computerized workstations. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | TAYLOR & FRANCIS LTD | - |
dc.title | Binomial AR(1) processes: moments, cumulants, and estimation | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Hee-Young | - |
dc.identifier.doi | 10.1080/02331888.2011.605893 | - |
dc.identifier.scopusid | 2-s2.0-84878537229 | - |
dc.identifier.wosid | 000319335000002 | - |
dc.identifier.bibliographicCitation | STATISTICS, v.47, no.3, pp.494 - 510 | - |
dc.relation.isPartOf | STATISTICS | - |
dc.citation.title | STATISTICS | - |
dc.citation.volume | 47 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 494 | - |
dc.citation.endPage | 510 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordAuthor | binomial AR(1) model | - |
dc.subject.keywordAuthor | conditional least-squares estimator | - |
dc.subject.keywordAuthor | cumulants | - |
dc.subject.keywordAuthor | moments | - |
dc.subject.keywordAuthor | squared difference estimator | - |
dc.subject.keywordAuthor | 60J10 | - |
dc.subject.keywordAuthor | 62F12 | - |
dc.subject.keywordAuthor | 62M05 | - |
dc.subject.keywordAuthor | 62M10 | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.