Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model

DOI10.1111/J.1467-9892.2007.00537.XMaRDI QIDQ3505335zbMATH OpenOpenAlexWikidataFDO

Authors Ginger Davis, Katherine Bennett Ensor

Publication date 18 June 2008

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2007.00537.x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

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• Efficient particle filtering for jump markov systems. Application to time-varying autoregressions
• Forecasting the U.S. Unemployment Rate
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• Inference in TAR Models
• MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES
• Nonlinear modelling of periodic threshold autoregressions using Tsmars
• Numerical Optimization
• Optimal transformations for categorical autoregressive time series
• Prediction and classification of non-stationary categorical time series
• Regression theory for categorical time series
• Spectral analysis for categorical time series: Scaling and the spectral envelope
• State‐space models for multivariate longitudinal data of mixed types
• Threshold Autoregression with a Unit Root
• Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives

Cited in

(4)

• Bayesian multi-regime smooth transition regression with ordered categorical variables
• On categorical time series models with covariates
• Categorical time semes with a recursive scheme and with covariates
• Time series analysis of hybrid neurophysiological data and application of mutual information

Describes a project that uses

Uses Software

• R

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