A trinomial difference autoregressive process for the bounded ℤ‐valued time series
Huaping Chen,
Zifei Han,
Fukang Zhu
Abstract:This article tackles the modeling challenge of bounded ‐valued time series by proposing a novel trinomial difference autoregressive process. This process not only maintains the autocorrelation structure presenting in the classical binomial GARCH model, but also facilitates the analysis of bounded ‐valued time series with negative or positive correlation. We verify the stationarity and ergodicity of the couple process (comprising both the observed process and its conditional mean process) while also presenting … Show more
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