Statistical Analysis of Discrete Time Series Based on the MC(s, r)-Model

被引：0
|
作者：
Kharin, Yuriy [1 ]
Piatlitski, Andrei [1 ]
机构：
[1] Belarusian State Univ, Dept Math Modeling & Data Anal, Independence Ave 4, Minsk 220030, BELARUS
来源：
AUSTRIAN JOURNAL OF STATISTICS | 2011年 / 40卷 / 1-2期
关键词：
High-order Markov Chain; Estimators; Hypotheses Testing;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：75 / 84
页数：10
相关论文
共 50 条
  • [31] STATISTICAL ANALYSIS OF TIME SERIES - ANDERSON,TW
    ROBINSON, PM
    AUSTRALIAN JOURNAL OF STATISTICS, 1972, 14 (02): : 190 - 190
  • [32] STATISTICAL ANALYSIS OF TIME SERIES - ANDERSON,TW
    PRIESTLE.MB
    JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY, 1972, 135 (04) : 605 - 606
  • [33] Multifractal statistical analysis of financial time series
    Yuan, Ying
    Zhuang, Xin-Tian
    PROCEEDINGS OF 2006 INTERNATIONAL CONFERENCE ON MACHINE LEARNING AND CYBERNETICS, VOLS 1-7, 2006, : 3609 - +
  • [34] STATISTICAL ANALYSIS OF TIME SERIES - ANDERSON,TW
    HARVEY, AC
    JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES D-THE STATISTICIAN, 1974, 23 (02) : 138 - 140
  • [35] Statistical analysis of time series with scaling indices
    Atmanspacher, H
    Ehm, W
    Scheingraber, H
    Wiedenmann, G
    DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2001, 5 (04) : 297 - 309
  • [36] STATISTICAL ANALYSIS OF TIME SERIES - ANDERSON,TW
    DAVIS, HT
    JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1973, 68 (341) : 241 - 242
  • [37] SPAD-based Time-of-Flight Discrete-Time Statistical Model and distortion compensation
    Incoronato, Alfonso
    Locatelli, Mauro
    Zappa, Franco
    NOVEL OPTICAL SYSTEMS, METHODS, AND APPLICATIONS XXIV, 2021, 11815
  • [38] Time series classification based on statistical features
    Lei, Yuxia
    Wu, Zhongqiang
    EURASIP JOURNAL ON WIRELESS COMMUNICATIONS AND NETWORKING, 2020, 2020 (01)
  • [39] Time series classification based on statistical features
    Yuxia Lei
    Zhongqiang Wu
    EURASIP Journal on Wireless Communications and Networking, 2020
  • [40] A PARAMETRIC MODEL FOR DISCRETE-VALUED TIME SERIES
    Janzura, Martin
    Fialova, Lucie
    PROBASTAT '06, 2008, 39 : 155 - 163
12345