Regime-Switching Discrete ARMA Models for Categorical Time Series
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DOI: 10.3390/e22040458
Abstract: For the modeling of categorical time series, both nominal or ordinal time series, an extension of the basic discrete autoregressive moving-average (ARMA) models is proposed. It uses an observation-driven regime-switching mechanism, leading to the family… read more here.
Keywords: categorical time; regime switching; time series; arma models ... See more keywords