Communication in Statistics-Theory and methods improved GQL estimation method for the generalised BINMA(1) model. Issue 3 (1st February 2019)

• Record Type: Journal Article
• Authors: Khan, N. Mamode; Jowaheer, V.; Sunecher, Y.
• Is Part Of: Communications in statistics. Volume 48:Issue 3(2019)
• Page Start: 709
• Page End: 725
• Publication Date: 2019-02-01
• Subjects: Bivariate -- generalized -- GQL -- moving average -- non-stationary.; 65C60 -- 62J12 -- 62H12 -- 62J20; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2018.1435807
• Languages: English
• ISSNs: 0361-0926

Abstract

ABSTRACT: In a recent research, the quasi-likelihood estimation methodology was developed to estimate the regression effects in the Generalized BINMA(1) (GBINMA(1)) process. The method provides consistent parameter estimates but, in the intermediate computations, moment estimating equations were used to estimate the serial- and cross-correlation parameters. This procedure may not result optimal parameter estimates, in particular, for the regression effects. This paper provides an alternative simpler GBINMA(1) process based on multivariate thinning properties where the main effects are estimated via a robust generalized quasi-likelihood (GQL) estimation approach. The two techniques are compared through some simulation experiments. A real-life data application is studied.