Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series (Q6135354): Difference between revisions

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scientific article; zbMATH DE number 7731484

Language	Label	Description	Also known as
English	Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series	scientific article; zbMATH DE number 7731484

Statements

instance of

scholarly article

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title

Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series (English)

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author

Abdelhakim Aknouche

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Stefanos Dimitrakopoulos

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published in

Journal of Time Series Analysis

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publication date

24 August 2023

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zbMATH Keywords

proportional time series data

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beta-ARMA model

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simplex ARMA

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autoregressive conditional duration

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exponential QMLE

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1111/jtsa.12679

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cites work

COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS

0 references

Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models

0 references

Stationarity and ergodicity of Markov switching positive conditional mean models

0 references

Negative Binomial Quasi‐Likelihood Inference for General Integer‐Valued Time Series Models

0 references

Periodic autoregressive conditional duration

0 references

Some parametric models on the simplex

0 references

Beta seasonal autoregressive moving average models

0 references

Generalized Autoregressive Moving Average Models

0 references

GARCH processes: structure and estimation

0 references

Q4836494

0 references

Flexible quasi-beta regression models for continuous bounded data

0 references

Kalman Filtering with Random Coefficients and Contractions

0 references

Strict stationarity of generalized autoregressive processes

0 references

Q4862306

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Q5357852

0 references

Theory and inference for a class of nonlinear models with application to time series of counts

0 references

A multiple indicators model for volatility using intra-daily data

0 references

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

0 references

Residual and influence analysis to a general class of simplex regression

0 references

Integer-Valued GARCH Process

0 references

Beta Regression for Modelling Rates and Proportions

0 references

QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES

0 references

Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

0 references

GARCH Models

0 references

Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects

0 references

ON A FAMILY OF DISTRIBUTIONS WITH ARGUMENT BETWEEN 0 AND 1 OBTAINED BY TRANSFORMATION OF THE GAMMA AND DERIVED COMPOUND DISTRIBUTIONS

0 references

Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models

0 references

Beta regression for time series analysis of bounded data, with application to Canada Google\(^{\circledR}\) Flu Trends

0 references

Q4840212

0 references

Q3089394

0 references

Q4226811

0 references

Regression analysis of variates observed on (0, 1): percentages, proportions and fractions

0 references

Time Series Models Based on Generalized Linear Models: Some Further Results

0 references

Q3998435

0 references

An Autoregressive Process for Beta Random Variables

0 references

The Kumaraswamy distribution: median-dispersion re-parameterizations for regression modeling and simulation-based estimation

0 references

Estimation and tests for power-transformed and threshold GARCH models

0 references

Beta autoregressive fractionally integrated moving average models

0 references

Beta autoregressive moving average models

0 references

Markov Regression Models for Time Series: A Quasi-Likelihood Approach

0 references

Generalized ARMA models with martingale difference errors

0 references

Identifiers

DOI

10.1111/jtsa.12679

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Mathematics Subject Classification ID

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0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6135354

@@ Property / cites work @@
+COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS
+Normal rank
@@ Property / cites work @@
+Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
+Normal rank
@@ Property / cites work @@
+Stationarity and ergodicity of Markov switching positive conditional mean models
+Normal rank
@@ Property / cites work @@
+Negative Binomial Quasi‐Likelihood Inference for General Integer‐Valued Time Series Models
+Normal rank
@@ Property / cites work @@
+Periodic autoregressive conditional duration
@@ Property / cites work: Periodic autoregressive conditional duration / rank @@
+Normal rank
@@ Property / cites work @@
+Some parametric models on the simplex
@@ Property / cites work: Some parametric models on the simplex / rank @@
+Normal rank
@@ Property / cites work @@
+Beta seasonal autoregressive moving average models
+Normal rank
@@ Property / cites work @@
+Generalized Autoregressive Moving Average Models
@@ Property / cites work: Generalized Autoregressive Moving Average Models / rank @@
+Normal rank
@@ Property / cites work @@
+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Q4836494
@@ Property / cites work: Q4836494 / rank @@
+Normal rank
@@ Property / cites work @@
+Flexible quasi-beta regression models for continuous bounded data
+Normal rank
@@ Property / cites work @@
+Kalman Filtering with Random Coefficients and Contractions
+Normal rank
@@ Property / cites work @@
+Strict stationarity of generalized autoregressive processes
+Normal rank
@@ Property / cites work @@
+Q4862306
@@ Property / cites work: Q4862306 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5357852
@@ Property / cites work: Q5357852 / rank @@
+Normal rank
@@ Property / cites work @@
+Theory and inference for a class of nonlinear models with application to time series of counts
+Normal rank
@@ Property / cites work @@
+A multiple indicators model for volatility using intra-daily data
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+Residual and influence analysis to a general class of simplex regression
+Normal rank
@@ Property / cites work @@
+Integer-Valued GARCH Process
@@ Property / cites work: Integer-Valued GARCH Process / rank @@
+Normal rank
@@ Property / cites work @@
+Beta Regression for Modelling Rates and Proportions
+Normal rank
@@ Property / cites work @@
+QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
+Normal rank
@@ Property / cites work @@
+GARCH Models
@@ Property / cites work: GARCH Models / rank @@
+Normal rank
@@ Property / cites work @@
+Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
+Normal rank
@@ Property / cites work @@
+ON A FAMILY OF DISTRIBUTIONS WITH ARGUMENT BETWEEN 0 AND 1 OBTAINED BY TRANSFORMATION OF THE GAMMA AND DERIVED COMPOUND DISTRIBUTIONS
+Normal rank
@@ Property / cites work @@
+Theory &amp; Methods: Non‐Gaussian Conditional Linear AR(1) Models
+Normal rank
@@ Property / cites work @@
+Beta regression for time series analysis of bounded data, with application to Canada Google\(^{\circledR}\) Flu Trends
+Normal rank
@@ Property / cites work @@
+Q4840212
@@ Property / cites work: Q4840212 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3089394
@@ Property / cites work: Q3089394 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226811
@@ Property / cites work: Q4226811 / rank @@
+Normal rank
@@ Property / cites work @@
+Regression analysis of variates observed on (0, 1): percentages, proportions                 and fractions
+Normal rank
@@ Property / cites work @@
+Time Series Models Based on Generalized Linear Models: Some Further Results
+Normal rank
@@ Property / cites work @@
+Q3998435
@@ Property / cites work: Q3998435 / rank @@
+Normal rank
@@ Property / cites work @@
+An Autoregressive Process for Beta Random Variables
+Normal rank
@@ Property / cites work @@
+The Kumaraswamy distribution: median-dispersion re-parameterizations for regression modeling and simulation-based estimation
+Normal rank
@@ Property / cites work @@
+Estimation and tests for power-transformed and threshold GARCH models
+Normal rank
@@ Property / cites work @@
+Beta autoregressive fractionally integrated moving average models
+Normal rank
@@ Property / cites work @@
+Beta autoregressive moving average models
@@ Property / cites work: Beta autoregressive moving average models / rank @@
+Normal rank
@@ Property / cites work @@
+Markov Regression Models for Time Series: A Quasi-Likelihood Approach
+Normal rank
@@ Property / cites work @@
+Generalized ARMA models with martingale difference errors
+Normal rank