| Autor: |
Voloshko, Valeriy A., Kharin, Yuriy S. |
| Předmět: |
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| Zdroj: |
Discrete Mathematics & Applications; Dec2020, Vol. 30 Issue 6, p417-437, 21p |
| Abstrakt: |
We introduce a new model P-CNAR(s) of sequences of discrete random variables with long memory determined by semibinomial conditionally nonlinear autoregression of order s ∈ ℕ with small number of parameters. Probabilistic properties of this model are studied. For parameters of the model P-CNAR a family of consistent asymptotically normal statistical FB-estimates is suggested and the existence of an efficient FB-estimate is proved. Computational advantages of FB-estimate w.r.t. maximum likelihood estimate are shown: less restrictive sufficient conditions for uniqueness, explicit form of FB-estimate, fast recursive computation algorithm under extension of the model P-CNAR. Subfamily of "sparse" FB-estimates that use some subset of frequencies of s-tuples is constructed, the asymptotic variance minimization problem within this subfamily is solved. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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