Dirichlet ARMA models for compositional time series

DOI10.1016/j.jmva.2017.03.006zbMath1397.62328OpenAlexW2605221469MaRDI QIDQ2359674

Rong Chen, Tingguo Zheng

Publication date: 22 June 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2017.03.006

zbMATH Keywords

Dirichlet distributionmultivariate time seriescompositional dataGaussian pseudo-likelihoodUK gross final expenditure seriesvector ARMA model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• Ox

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