2007 / March Volume 2 No.1
Some multivariate discrete time series models for dependent multivariate Zipf counts
| Published Date |
2007 / March
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|---|---|
| Title | Some multivariate discrete time series models for dependent multivariate Zipf counts |
| Author | |
| Keyword |
Multivariate discrete MD-AR(1), MD-AR(p), MD-MA(q), MD-ARMA(p, q) processes, multivariate Zipf MZ-AR(1), MZ-MA(1) process, correlation structure, expected run length, geometric minima, multivariate Yule-Walker equations, discrete income, Multivariate discrete MD-AR(1), MD-AR(p), MD-MA(q), MD-ARMA(p, q) processes, multivariate Zipf MZ-AR(1), MZ-MA(1) process, correlation structure, expected run length, geometric minima, multivariate Yule-Walker equations, discrete income
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| Download | |
| Pagination | 29-53 |
| Abstract | A family of models MD-AR(1), MD-AR(p), MD-MA(q), MD-ARMA(p, q) for multivariate discrete time series is developed
and all their autocorrelation structures are investigated. Any fat-tailed dependent multivariate discrete random vectors can be
fitted reasonably by these multivariate discrete time series models. In this article, four multivariate Zipf processes are mainly
discussed. Some distributional properties of the Zipf processes, MZ-AR(1) and MZ-MA(1) including the joint distribution, time
reversibility, expected run length, extreme order statistics, geometric minima are studied thoroughly in this paper. These multivariate Zipf processes provide potential models for multivariate discrete income time series data.
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| Received |
2006-07-25
|