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BY 4.0 license Open Access Published by De Gruyter Open Access July 31, 2021

Generalized Bernoulli process: simulation, estimation, and application

Jeonghwa Lee
From the journal Dependence Modeling

Abstract

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.

MSC 2010: 60G10; 60G20

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Received: 2021-03-08
Accepted: 2021-07-05
Published Online: 2021-07-31

© 2021 Jeonghwa Lee, published by De Gruyter

This work is licensed under the Creative Commons Attribution 4.0 International License.

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