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Generalized binary vector autoregressive processes
FDAP = (0.3255, 0.4457, 0.1436, 0.1858, 0.0000, 0.0449)′ (4.3)
(𝜎e,FDAP,ii, i = 1,… , 6) = (0.2195, 0.2471, 0.1230, 0.1513, 0.0000, 0.0429). (4.4)
In comparison to the analysis of the whole data sample [...] (et,1, t ∈ ℤ) and
(et,2, t ∈ ℤ) with 𝜇e,1 = P(et,1 = 1) = 0.4 and 𝜇e,2 = P(et,2 = 1) = 0.8 leading to Σe = diag(0.24, 0.16). In Figure 4, we show a realization of the bivariate gbVAR(1) process with [...] notation described above. Defining also g2 = (1, 0, 0, 0)′, g3 = (0, 1, 0, 0)′ and g4 = (0, 0, 0, 1) and G′ = [g1, g2, g3, g4] we get a lower-dimensional process Ỹt of dimension Kp − L = 3 as in (2.26) with …
