Positive Time Series Regression Models

DOI10.48550/ARXIV.2201.03667MaRDI QIDQ115246arXivFDO

Authors Taiane Schaedler Prass, Jonas Hendler Carlos, Cleiton Guolo Taufemback, Guilherme Pumi

Publication date 10 January 2022

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear inference, regression (62J99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12)

Abstract: In this paper we discuss dynamic ARMA-type regression models for time series taking values in $(0,infty)$. In the proposed model, the conditional mean is modeled by a dynamic structure containing autoregressive and moving average terms, time-varying regressors, unknown parameters and link functions. We introduce the new class of models and discuss partial maximum likelihood estimation, hypothesis testing inference, diagnostic analysis and forecasting.

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• PTSR

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