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 |
| _version_ | 1818936764881960960 |
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| author | Yuriy Kharin Andrei Piatlitski |
| author_facet | Yuriy Kharin Andrei Piatlitski |
| author_sort | Yuriy Kharin |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-20T05:41:15Z |
| format | Article |
| id | doaj.art-4fc41db5345b4edd83cf48ed08d8c6c7 |
| institution | Directory Open Access Journal |
| issn | 1026-597X |
| language | English |
| last_indexed | 2024-12-20T05:41:15Z |
| publishDate | 2016-02-01 |
| publisher | Austrian Statistical Society |
| record_format | Article |
| series | Austrian Journal of Statistics |
| spelling | doaj.art-4fc41db5345b4edd83cf48ed08d8c6c72022-12-21T19:51:26ZengAustrian Statistical SocietyAustrian Journal of Statistics1026-597X2016-02-01401&210.17713/ajs.v40i1&2.199Statistical Analysis of Discrete Time Series Based on the MC(s; r)–ModelYuriy Kharin0Andrei Piatlitski1Belarusian State University, MinskBelarusian State University, MinskA 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.http://www.ajs.or.at/index.php/ajs/article/view/199 |
| spellingShingle | Yuriy Kharin Andrei Piatlitski Statistical Analysis of Discrete Time Series Based on the MC(s; r)–Model Austrian Journal of Statistics |
| title | Statistical Analysis of Discrete Time Series Based on the MC(s; r)–Model |
| title_full | Statistical Analysis of Discrete Time Series Based on the MC(s; r)–Model |
| title_fullStr | Statistical Analysis of Discrete Time Series Based on the MC(s; r)–Model |
| title_full_unstemmed | Statistical Analysis of Discrete Time Series Based on the MC(s; r)–Model |
| title_short | Statistical Analysis of Discrete Time Series Based on the MC(s; r)–Model |
| title_sort | statistical analysis of discrete time series based on the mc s r model |
| url | http://www.ajs.or.at/index.php/ajs/article/view/199 |
| work_keys_str_mv | AT yuriykharin statisticalanalysisofdiscretetimeseriesbasedonthemcsrmodel AT andreipiatlitski statisticalanalysisofdiscretetimeseriesbasedonthemcsrmodel |