Binary estimation using ARMA model?

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Asked 8 years, 2 months ago

Modified 8 years, 2 months ago

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Problem

I am a software developer and I have been studying ARMA methods. Currently, I have a spatiotemporal stream of data and would like to apply ARMA model to it. I have a binary target (independent variable) comprised of 0 and 1. My problem is that I would like to use ARMA to both detect (classify/estimate) 0 and 1 and then later predict using my stream of data.

Question

What are the ARMA models that can detect/predict/classify/estimate for boolean output (0 or 1)? Is there a specialized name for such a model given my use case is a binary variable as a target? Are there libraries in python or R that I can further study to help me or a literature?

Attempts

I have been unsuccessful in answering this question and have done the following:

Introduction to Time Series by Chatfield
Maching Learning by Kevin Murphy
StackExchange and Google

I beg your pardon and assistance given I am not a domain expert in this area. Any clues, comments, suggested texts, software packages, and materials would be extremely valuable in assisting me further.

edited Sep 20, 2016 at 18:31

Tim

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asked Sep 20, 2016 at 14:08

GeekyOmega

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1

$\begingroup$ Check stats.stackexchange.com/questions/197084/binary-time-series or stats.stackexchange.com/questions/15068/… $\endgroup$
– Tim
Commented Sep 20, 2016 at 18:30
$\begingroup$ Great links. Thanks! What is the preferred way to measure ARMA models in statistics for classification/detection performance, fit, error etc. In simple terms, what are the metrics to measure model performance and pick a winner? $\endgroup$
– GeekyOmega
Commented Sep 20, 2016 at 18:58
1

$\begingroup$ There is a whole field of discrete time series models (good reference is: crcpress.com/Handbook-of-Discrete-Valued-Time-Series/… another one is wiley.com/WileyCDA/WileyTitle/productCd-0471363553.html) $\endgroup$
– bdeonovic
Commented Sep 20, 2016 at 19:32
1

$\begingroup$ might also read about the NDARMA(p, q) models (articles by Weiss) $\endgroup$
– bdeonovic
Commented Sep 20, 2016 at 19:33
$\begingroup$ Thanks the responses. I wish I could have given you all more +rep. :) $\endgroup$
– GeekyOmega
Commented Sep 27, 2016 at 13:04

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