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JOURNALS // Proceedings of the Institute of Mathematics of the NAS of Belarus // Archive

Tr. Inst. Mat., 2018 Volume 26, Number 1, Pages 95–105 (Mi timb294)

Binomial conditionally nonlinear autoregressive model of discrete time series and its probabilistic and statistical properties

Yu. S. Kharin, V. A. Voloshko

Research Institute for Applied Problems of Mathematics and Informatics, Belarusian State University, Minsk

Abstract: A new binomial conditionally nonlinear autoregressive model BiCNAR is proposed for discrete time series. An efficient computationally fast statistical FB-estimator is constructed for the parameter of BiCNAR model. Recursive algorithm based on the FB-estimator is proposed for the BiCNAR model extension.

UDC: 519.217.2

Received: 15.06.2018



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