Modelling circular time series

DOI10.1016/j.jeconom.2023.02.016OpenAlexW4378674143MaRDI QIDQ6190948

No author found.

Publication date: 6 March 2024

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.02.016

zbMATH Keywords

von Mises distributionnonstationaritydirectional statisticswind directiondynamic conditional score model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Sine-skewed circular distributions
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• The analysis of directional time series: Applications to wind speed and direction. (Based on the author's thesis, Univ. of Western Australia in Perth)
• Time series: theory and methods.
• Circular autocorrelation of stationary circular Markov processes
• Copula-based segmentation of cylindrical time series
• Maximum likelihood estimation for score-driven models
• Recent advances in directional statistics
• Topics in Circular Statistics
• Dynamic Models for Volatility and Heavy Tails
• Statistical Analysis of Circular Data
• A Markov Process for Circular Data
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• A Family of Symmetric Distributions on the Circle

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