Binomial autoregressive moving average models

Binomial autoregressive moving average models

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Article ID: iaor1992391
Country: United States
Volume: 7
Start Page Number: 261
End Page Number: 282
Publication Date: Aug 1991
Journal: Stochastic Models
Authors: ,
Keywords: statistics: multivariate, statistics: regression
Abstract:

A family of models for a stationary sequence of dependent binomial random variables is introduced. The properties of the binomial distribution, along with the simplicity of the models, make them useful for modelling and simulation of dependent point processes. For the binomial AR(1) process we discuss the existence of a stationary distribution for the process. In addition to the AR(1) case we consider binomial MA(1), MA(q), ARMA(1,q), and multiple AR(1) processes. For each model, the autocorrelation function and joint distribution of consecutive observations are derived.

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