Stationary discrete autoregressive-moving average time series generated by mixtures
By: by P.A. Jacobs, P.A.W. Lewis
Contributors: Naval Postgraduate School (U.S.); Lewis, Peter Adrian Walter
Publisher: Naval Postgraduate School
Published: 1982
Place of publication: Monterey, California
Language: eng
Number of pages: 34
Subjects: Probabilities; Time-series analysis; Random variables
Description: Two simple stationary processes of discrete random variables with arbitrarily chosen first-order marginal distributions, DARMA(p,N+1) and NDARMA(p,N), are given. The correlation structure of these processes mimics that of the usual linear ARMA(p,q) processes. The relationship of these processes to mover-stayer models, and to models for discrete time series given separately by Lindqvist and Pegram is discussed. Ad-hoc nonparametric estimators for the parameters in the DARMA(p,N+1) and NDARMA(p,N) are given. A simulation study shows them to be as good as maximum likelihood estimators for the first-order autoregressive case, and to be much simpler to compute than the maximum likelihood estimators. (Author)
Notes: "NPS-55-82-003"--Cover.

Cover title.

"January 1982"--Cover.

"Prepared for: Chief of Naval Research, Arlington, VA 22217 ; National Science Foundation, Washington, DC 20550."

Includes bibliographical references (p. 33).

"Approved for public release; distribution is unlimited"--Cover.

Technical report; 1982.

ck/ 4/15/09.