Binomial autoregressive moving average models
- 1 January 1991
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics. Stochastic Models
- Vol. 7 (2) , 261-282
- https://doi.org/10.1080/15326349108807188
Abstract
A family of models for a stationary sequence of dependent binomial random variables is introduced. The properties of the binomial distribution, along with the simplicity of the models, make them useful for modelling and simulation of dependent point processes. For the binomial AR(1) process we discuss the existence of a stationary distribution for the process. In addition to the AR(1) case we consider binomial MA(1), MA(q), ARMA(l,q), and multiple AR(1) processes. For each model, the autocorrelation function and joint distribution of consecutive observations are derived,and some properties such as regression and time reversibility are discussed.Keywords
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