Abstract
We propose herein a new parsimonious Markov model for a discrete-valued time series with conditional probability distributions of observations lying in the exponential family with the multidimensional parameter. A family of explicit consistent asymptotically normal statistical estimators is constructed for the parameters of the proposed model for increasing length of observed time series, and asymptotically effective estimator is found within this constructed family. The obtained results can be used for robust statistical analysis of discrete-valued time series,and for statistical analysis of discrete-valued spatio-temporal data and random fields.
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More From: Proceedings of the National Academy of Sciences of Belarus. Physics and Mathematics Series
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