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
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