Generalized Bernoulli process: simulation, estimation, and application-Reference-Cited by-同舟云学术

Generalized Bernoulli process: simulation, estimation, and application

Published:2021-01-01 Issue:1 Volume:9 Page:141-155
ISSN:2300-2298
Container-title:Dependence Modeling
language:en
Short-container-title:

Author:

Lee Jeonghwa¹

Affiliation:

1. Department of Statistics , Truman State University , USA

Abstract

Abstract 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.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Link

https://www.degruyter.com/document/doi/10.1515/demo-2021-0106/pdf

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