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Generalized binary vector autoregressive processes
2018. Precisely, with Yt,k, k = 1,… , 6, representing the day-wise mean of the PM10 values for each station, Figure 2 shows binarized time series data (Xt = (Xt,1,… ,Xt,6), t ∈ ℤ), where Xt,k = 1, if Yt,k [...] (1; 𝛼, 𝛽) , 𝛼 ∈ [0, 1)
at
( 1 − Xt−1
) + btet,
[ at, bt
] ∼ Mult (1; |𝛼|, 𝛽) , 𝛼 ∈ (−1, 0)
. (1.6)
Hence, depending on the sign of the parameter 𝛼 ∈ (−1, 1), either the predecessor Xt−1 or its opposite [...] can be systematically picked by the random selection mechanism. Actually, the first equation in (1.6), that allows for 𝛼 ∈ [0, 1), corresponds to an NDAR(1) model with a binary state space, which is contained …
