Generalized Bernoulli process: simulation, estimation, and application
A generalized Bernoulli process (GBP) is a stationary process consisting of binary variables that can capture long-memory property. In this paper, we propose a simulation method for a sample path of GBP and an estimation method for the parameters in GBP. Method of moments estimation and maximum like...
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| Format: | Article |
| Language: | English |
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De Gruyter
2021-07-01
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| Series: | Dependence Modeling |
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| Online Access: | https://doi.org/10.1515/demo-2021-0106 |