Positive Time Series Regression Models

DOI10.48550/ARXIV.2201.03667arXiv2201.03667MaRDI QIDQ115246FDOQ115246

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

Publication date: 10 January 2022

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.

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)

Cited In (1)

• PTSR

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