Regime-Switching Discrete ARMA Models for Categorical Time Series
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 of RS-DARMA models. After having discussed the...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-04-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/22/4/458 |