Statistical Analysis of Discrete Time Series Based on the MC(s; r)–Model
A new model for discrete-valued time series is proposed: Markov chain of the order s with r partial connections MC(s; r). Statistical estimators for the parameters of the MC(s; r)-model are constructed. The asymptotic properties of these estimators are proved. Statistical tests on the parameters of...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2016-02-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/199 |
| Summary: | A new model for discrete-valued time series is proposed: Markov chain of the order s with r partial connections MC(s; r). Statistical estimators for the parameters of the MC(s; r)-model are constructed. The asymptotic properties of these estimators are proved. Statistical tests on the parameters of this model are proposed and their performance is analyzed. The theory is illustrated on some real statistical data. |
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| ISSN: | 1026-597X |