A NOTE ON USING THE MAXIMUM PARTIAL LIKELIHOOD ESTIMATOR OF TRANSITION MODEL FOR BINARY TIME SERIES
We consider p-ordered transition models for binary time series with pobservations and an auxiliary vector series. In this paper, we show that the partial likelihood estimator for the model parameters has asymptotic normality and consistency under some assumptions and discuss some simulation results to study the behavior regarding asymptotic convergence of the estimator under finite time.
binary time series, transition model, partial likelihood, consistency, asymptotic normality.
