Discrete-valued time series based on the exponential family with the multidimensional parameter and their probabilistic and statistical analysis.
https://doi.org/10.29235/1561-2430-2022-58-3-280-291
Abstract
We propose herein a new parsimonious Markov model for a discrete-valued time series with conditional probability distributions of observations lying in the exponential family with the multidimensional parameter. A family of explicit consistent asymptotically normal statistical estimators is constructed for the parameters of the proposed model for increasing length of observed time series, and asymptotically effective estimator is found within this constructed family. The obtained results can be used for robust statistical analysis of discrete-valued time series,and for statistical analysis of discrete-valued spatio-temporal data and random fields.
About the Authors
V. A. Voloshko
Research Institute for Applied Problems of Mathematics and Informatics, Belarusian State University
Belarus
Belarus
Valeriy A. Voloshko – Ph. D. (Physics and Mathematics), Head of the Computer Data Analysis Sector
Nezavisimosty Ave., 4, Minsk, 220030
Yu. S. Kharin
Research Institute for Applied Problems of Mathematics and Informatics, Belarusian State University
Belarus
Belarus
Yuriy S. Kharin – Academician of the National Academy of Sciences of Belarus, Dr. Sc. (Physics and Mathematics), Professor
Nezavisimosty Ave., 4, Minsk, 220030
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