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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Bibliographic Details
Published inDependence modeling Vol. 9; no. 1; pp. 141 - 155
Main Author Lee, Jeonghwa
Format Journal Article
LanguageEnglish
Published De Gruyter 31.07.2021
Subjects
60G10
60G20
Bernoulli process
earthquake data
Generalized Bernoulli process
Hurst exponent
long-range dependence
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Summary: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.
ISSN:2300-2298
2300-2298
DOI:10.1515/demo-2021-0106