On binary and categorical time series models with feedback

Moysiadis, T. and Fokianos, K. (2014) On binary and categorical time series models with feedback. Journal of Multivariate Analysis, 131. pp. 209-228. ISSN 0047-259X

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We study the problem of ergodicity, stationarity and maximum likelihood estimation for multinomial logistic models that include a latent process. Our work includes various models that have been proposed for the analysis of binary and, more general, categorical time series. We give verifiable ergodicity and stationarity conditions for the analysis of such time series data. In addition, we study maximum likelihood estimation and prove that, under mild conditions, the estimator is asymptotically normally distributed. These results are applied to real and simulated data.

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Journal Article
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Journal of Multivariate Analysis
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Deposited On:
26 Sep 2018 08:00
Last Modified:
22 Nov 2022 06:22