Publication:
Discrete Time Series Generated by Mixtures II: Asymptotic Properties

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Authors
Jacobs, Patricia A.
Lewis, Peter A.W.
Subjects
Advisors
Date of Issue
1978
Date
Publisher
Royal Statistical Society
Language
Abstract
The darma (discrete mixed autoregressive‐moving average) processes are a broad but parametrically simple class of models for a stationary sequence of dependent discrete random variables. A darma process is formed as a random linear combination of independent identically distributed discrete random variables. The process is specified by the distribution of the independent variables, which is also the marginal distribution of the random process, and several other chosen parameters which independently determine the covariance structure of the process. In this paper the asymptotic properties of the darma process are studied. Limiting results for estimates of moments, percentiles and quantiles are obtained. Asymptotic properties of the χ2 test for goodness‐of‐fit for the marginal distribution of the process are also studied.
Type
Article
Description
Series/Report No
Department
Organization
Naval Postgraduate School (U.S.)
Identifiers
NPS Report Number
Sponsors
Funder
Office of Naval Research NR-42-284.
Format
7 p.
Citation
Jacobs, Patricia A., and Peter AW Lewis. "Discrete time series generated by mixtures II: asymptotic properties." Journal of the Royal Statistical Society: Series B (Methodological) 40.2 (1978): 222-228.
Distribution Statement
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.
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