A parametric model for discrete-valued time series

Rok, strany: 2008, 155 - 163

A parametric model for statistical analysis of Markov chains type models is constructed. Within the proposed model we can estimate the unknown parameter by simultaneous optimization of a collection of short-range objective functions. The estimate is proved to be consistent and asymptotically normal. Under mild conditions the estimate agrees with the standard maximum likelihood one, and, therefore, it is also asymptotically efficient.

ISO 690:

Janžura, M., Fialová, L. 2008. A parametric model for discrete-valued time series. In Tatra Mountains Mathematical Publications, vol. 39, no.1, pp. 155-163. 1210-3195.

APA:

Janžura, M., Fialová, L. (2008). A parametric model for discrete-valued time series. Tatra Mountains Mathematical Publications, 39(1), 155-163. 1210-3195.