Generalized Bernoulli process: simulation, estimation, and application

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 like...

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Autor principal:	Lee Jeonghwa
Formato:	article
Lenguaje:	EN
Publicado:	De Gruyter 2021
Materias:	generalized bernoulli process bernoulli process long-range dependence hurst exponent earthquake data 60g10 60g20 Science (General) Q1-390 Mathematics QA1-939
Acceso en línea:	https://doaj.org/article/f0700b7d663e47219f5ca350dcfb991e
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spelling	oai:doaj.org-article:f0700b7d663e47219f5ca350dcfb991e2021-12-05T14:10:46ZGeneralized Bernoulli process: simulation, estimation, and application2300-229810.1515/demo-2021-0106https://doaj.org/article/f0700b7d663e47219f5ca350dcfb991e2021-07-01T00:00:00Zhttps://doi.org/10.1515/demo-2021-0106https://doaj.org/toc/2300-2298A 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.Lee JeonghwaDe Gruyterarticlegeneralized bernoulli processbernoulli processlong-range dependencehurst exponentearthquake data60g1060g20Science (General)Q1-390MathematicsQA1-939ENDependence Modeling, Vol 9, Iss 1, Pp 141-155 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	generalized bernoulli process bernoulli process long-range dependence hurst exponent earthquake data 60g10 60g20 Science (General) Q1-390 Mathematics QA1-939
spellingShingle	generalized bernoulli process bernoulli process long-range dependence hurst exponent earthquake data 60g10 60g20 Science (General) Q1-390 Mathematics QA1-939 Lee Jeonghwa Generalized Bernoulli process: simulation, estimation, and application
description	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.
format	article
author	Lee Jeonghwa
author_facet	Lee Jeonghwa
author_sort	Lee Jeonghwa
title	Generalized Bernoulli process: simulation, estimation, and application
title_short	Generalized Bernoulli process: simulation, estimation, and application
title_full	Generalized Bernoulli process: simulation, estimation, and application
title_fullStr	Generalized Bernoulli process: simulation, estimation, and application
title_full_unstemmed	Generalized Bernoulli process: simulation, estimation, and application
title_sort	generalized bernoulli process: simulation, estimation, and application
publisher	De Gruyter
publishDate	2021
url	https://doaj.org/article/f0700b7d663e47219f5ca350dcfb991e
work_keys_str_mv	AT leejeonghwa generalizedbernoulliprocesssimulationestimationandapplication
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Generalized Bernoulli process: simulation, estimation, and application

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