Analysis of accumulated rounding errors in autoregressive processes

DOI10.1111/j.1467-9892.2010.00710.xzbMath1294.62182OpenAlexW1574869324MaRDI QIDQ5495697

Zhi-Dong Bai, Wei-Ming Li

Publication date: 6 August 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00710.x

zbMATH Keywords

autoregressive processrounding erroraccumulative rounded autoregressive modelconditional maximum-likelihood estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Discrete-time Markov processes on general state spaces (60J05)

Related Items

Cumulants of a random variable distributed uniformly on the first \(n\) integers ⋮ Bayesian statistical inference based on rounded data ⋮ Bias reduction when data are rounded ⋮ Rounded data analysis based on multi-layer ranked set sampling

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Probabilistic rounding and Sheppard's correction
• Analysis of rounded data from dependent sequences
• Statistical analysis for rounded data
• Ignorability and coarse data
• Statistical inference using extreme order statistics
• First-order rounded integer-valued autoregressive (RINAR(1)) process
• Anova Under Categorisation
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Analysis of autoregressive-moving average models: Estimation and prediction
• Confidence Intervals Based on Rounded Data from the Balanced One-Way Normal Random Effects Model
• Errors in the Variables Bias in the Presence of Correctly Measured Variables
• The Influence of Numerical and Observational Errors on the Likelihood of an ARMA Series
• Estimating Hazard Functions for Discrete Lifetimes

This page was built for publication: Analysis of accumulated rounding errors in autoregressive processes