Statistical analysis of multivariate discrete-valued time series

Konstantinos Fokianos, Roland Fried, Yuriy Kharin and Valeriy Voloshko

Journal of Multivariate Analysis, 2022, vol. 188, issue C

Abstract: 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.

Keywords: Autoregression; Categorical time series; Integer-valued time series; Markov chains; Maximum likelihood estimation; Multivariate discrete distributions; Robust estimation (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2021.104805

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