Artikel
Generalized binary vector autoregressive processes
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.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Time Series Analysis ; ISSN: 1467-9892 ; Volume: 43 ; Year: 2021 ; Issue: 2 ; Pages: 285-311 ; Oxford, UK: John Wiley & Sons, Ltd
- Thema
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Binary data
mixing properties
multi‐variate time series
stationarity conditions
transition probabilities
Yule–Walker equations
- Ereignis
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Geistige Schöpfung
- (wer)
-
Jentsch, Carsten
Reichmann, Lena
- Ereignis
-
Veröffentlichung
- (wer)
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John Wiley & Sons, Ltd
- (wo)
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Oxford, UK
- (wann)
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2021
- DOI
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doi:10.1111/jtsa.12614
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Jentsch, Carsten
- Reichmann, Lena
- John Wiley & Sons, Ltd
Entstanden
- 2021
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