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Statistical analysis of multivariate discrete-valued time series

Author

Listed:
  • Fokianos, Konstantinos
  • Fried, Roland
  • Kharin, Yuriy
  • Voloshko, Valeriy

Abstract

This work gives an overview of statistical analysis for some models for multivariate discrete-valued (MDV) time series. We present observation-driven models and models based on higher-order Markov chains. Several extensions are highlighted including non-stationarity, network autoregressions, conditional non-linear autoregressive models, robust estimation, random fields and spatio-temporal models.

Suggested Citation

  • Fokianos, Konstantinos & Fried, Roland & Kharin, Yuriy & Voloshko, Valeriy, 2022. "Statistical analysis of multivariate discrete-valued time series," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    • Handle: RePEc:eee:jmvana:v:188:y:2022:i:c:s0047259x2100083x
    DOI: 10.1016/j.jmva.2021.104805
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