Nonparametric additive regression models for binary time series

I consider models for binary time series, starting with autoregression models and then developing generalizations of them which allow nonparametric additive covariates. I show that several apparently different binary AR(1) models are equivalent. Three possible nonparametric additive regression models which allow for autocorrelation are considered; one is a generalization of an ARX model, the other two are generalizations of a regression model with AR errors. One of the models is applied to two data sets: IBM stock transactions and Melbourne’s …