Modeling Compositional Time Series with Vector Autoregressive Models

DOI10.1002/for.2336zbMath1376.62105OpenAlexW1909690229MaRDI QIDQ5369573

Petra Kynčlová, Peter Filzmoser, Karel Hron

Publication date: 18 October 2017

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2336

zbMATH Keywords

Euclidean geometryGranger causalityAitchison geometrycompositional dataVAR modelisometric log-ratio transformation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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