On Some Properties of Autopersistence Functions and Autopersistence Graphs

Šárka Hudecová

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 17, 3661-3673

Abstract: The classical autocorrelation function might not be very informative when measuring a dependence in binary time series. Recently, alternative tools, namely the autopersistence functions (APF) and their sample counterparts, the autpersistence graphs (APG), have been proposed for the analysis of dependent dichotomous variables. In this article, we summarize properties of the autopersistence functions for general binary series as well as for some important particular cases. We suggest a normalized version of APF which might be more convenient for a practical use. The asymptotic properties of autopersistence graphs are investigated. The consistency and asymptotic normality is discussed. The theoretical results are illustrated by a simulation study.

Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2012.702365 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:43:y:2014:i:17:p:3661-3673

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2012.702365

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().