首页|Statistical analysis of multivariate discrete-valued time series

Statistical analysis of multivariate discrete-valued time series

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  • NSTL
  • Elsevier
This work gives an overview of statistical analysis for some models for multivariate discrete-valued (MDV) time series. We present observation-driven models and models based on higher-order Markov chains. Several extensions are highlighted including non-stationarity, network autoregressions, conditional non-linear autoregressive models, robust estimation, random fields and spatio-temporal models. (C) 2021 Elsevier Inc. All rights reserved.

AutoregressionCategorical time seriesInteger-valued time seriesMarkov chainsMaximum likelihood estimationMultivariate discrete distributionsRobust estimationROBUST ESTIMATIONMARKOV-CHAINREGRESSION-MODELSCOUNTLIKELIHOODBINARYAPPROXIMATIONPARAMETERSINFERENCEMIXTURES

Fokianos, Konstantinos、Kharin, Yuriy、Voloshko, Valeriy、Fried, Roland

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Univ Cyprus

Belarusian State Univ

TU Dortmund

2022

10.1016/j.jmva.2021.104805

Journal of Multivariate Analysis

Journal of Multivariate Analysis

SCI
ISSN：0047-259X
年,卷(期)：2022.188
  • 4
  • 135