Generalized Bernoulli process: simulation, estimation, and application

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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Bibliographic Details
Main Author: Lee Jeonghwa
Format: Article
Language:English
Published: De Gruyter 2021-07-01
Series:Dependence Modeling
Subjects:
generalized bernoulli process
bernoulli process
long-range dependence
hurst exponent
earthquake data
60g10
60g20
Online Access:https://doi.org/10.1515/demo-2021-0106
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spelling doaj-f0700b7d663e47219f5ca350dcfb991e2021-10-03T07:42:30ZengDe GruyterDependence Modeling2300-22982021-07-019114115510.1515/demo-2021-0106Generalized Bernoulli process: simulation, estimation, and applicationLee Jeonghwa0Department of Statistics, Truman State University, USAA 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 likelihood estimation are compared through empirical results from simulation. Application of GBP in earthquake data during the years of 1800-2020 in the region of conterminous U.S. is provided.https://doi.org/10.1515/demo-2021-0106generalized bernoulli processbernoulli processlong-range dependencehurst exponentearthquake data60g1060g20
collection DOAJ
language English
format Article
sources DOAJ
author Lee Jeonghwa
spellingShingle Lee Jeonghwa
Generalized Bernoulli process: simulation, estimation, and application
Dependence Modeling
generalized bernoulli process
bernoulli process
long-range dependence
hurst exponent
earthquake data
60g10
60g20
author_facet Lee Jeonghwa
author_sort Lee Jeonghwa
title Generalized Bernoulli process: simulation, estimation, and application
title_short Generalized Bernoulli process: simulation, estimation, and application
title_full Generalized Bernoulli process: simulation, estimation, and application
title_fullStr Generalized Bernoulli process: simulation, estimation, and application
title_full_unstemmed Generalized Bernoulli process: simulation, estimation, and application
title_sort generalized bernoulli process: simulation, estimation, and application
publisher De Gruyter
series Dependence Modeling
issn 2300-2298
publishDate 2021-07-01
description 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 likelihood estimation are compared through empirical results from simulation. Application of GBP in earthquake data during the years of 1800-2020 in the region of conterminous U.S. is provided.
topic generalized bernoulli process
bernoulli process
long-range dependence
hurst exponent
earthquake data
60g10
60g20
url https://doi.org/10.1515/demo-2021-0106
work_keys_str_mv AT leejeonghwa generalizedbernoulliprocesssimulationestimationandapplication
_version_ 1716846151642120192

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