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        Stationary discrete autoregressive-moving average time series generated by mixtures

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        Author
        Jacobs, Patricia A.
        Lewis, Peter Adrian Walter
        Date
        1982-01
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        Abstract
        Two simple stationary processes of discrete random variables with arbitrarily chosen first-order marginal distributions, DARMA(p,N+1) and NDARMA(p,N), are given. The correlation structure of these processes mimics that of the usual linear ARMA(p,q) processes. The relationship of these processes to mover-stayer models, and to models for discrete time series given separately by Lindqvist and Pegram is discussed. Ad-hoc nonparametric estimators for the parameters in the DARMA(p,N+1) and NDARMA(p,N) are given. A simulation study shows them to be as good as maximum likelihood estimators for the first-order autoregressive case, and to be much simpler to compute than the maximum likelihood estimators. (Author)
        URI
        http://hdl.handle.net/10945/30196
        NPS Report Number
        NPS-55-82-003
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