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)

Related Items

Unnamed Item, Enhanced oil recovery for ASP flooding based on biorthogonal spatial-temporal Wiener modeling and iterative dynamic programming

Uses Software

• Ox

Cites Work

• Beta autoregressive moving average models
• Markov chains and stochastic stability
• Generalized ARMA models with martingale difference errors
• Estimation of vector Armax models
• Observation-driven models for Poisson counts
• A negative binomial model for time series of counts
• Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
• Vector linear time series models
• Numerical Optimization
• Generalized Autoregressive Moving Average Models
• Concepts of Independence for Proportions with a Generalization of the Dirichlet Distribution
• The analysis of dependencies between time series in psychological experiments
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item