Generalized binary vector autoregressive processes. (8th September 2021)
- Record Type:
- Journal Article
- Title:
- Generalized binary vector autoregressive processes. (8th September 2021)
- Main Title:
- Generalized binary vector autoregressive processes
- Authors:
- Jentsch, Carsten
Reichmann, Lena - Abstract:
- Abstract : Vector‐valued‐60 extensions of univariate generalized binary auto‐regressive (gbAR) processes are proposed that enable the joint modeling of serial and cross‐sectional‐50 dependence of multi‐variate binary data. The resulting class of generalized binary vector auto‐regressive (gbVAR) models is parsimonious, nicely interpretable and allows also to model negative dependence. We provide stationarity conditions and derive moving‐average‐type representations that allow to prove geometric mixing properties. Furthermore, we derive general stochastic properties of gbVAR processes, including formulae for transition probabilities. In particular, classical Yule–Walker equations hold that facilitate parameter estimation in gbVAR models. In simulations, we investigate the estimation performance, and for illustration, we apply gbVAR models to particulate matter (PM10, 'fine dust') alarm data observed at six monitoring stations in Stuttgart, Germany.
- Is Part Of:
- Journal of time series analysis. Volume 43:Number 2(2022)
- Journal:
- Journal of time series analysis
- Issue:
- Volume 43:Number 2(2022)
- Issue Display:
- Volume 43, Issue 2 (2022)
- Year:
- 2022
- Volume:
- 43
- Issue:
- 2
- Issue Sort Value:
- 2022-0043-0002-0000
- Page Start:
- 285
- Page End:
- 311
- Publication Date:
- 2021-09-08
- Subjects:
- Binary data -- mixing properties -- multi‐variate time series -- stationarity conditions -- transition probabilities -- Yule–Walker equations
Time-series analysis -- Periodicals
519.232 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9892 ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/jtsa.12614 ↗
- Languages:
- English
- ISSNs:
- 0143-9782
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 5069.400000
British Library DSC - BLDSS-3PM
British Library STI - ELD Digital store - Ingest File:
- 20788.xml