Beta autoregressive fractionally integrated moving average models

DOI10.1016/J.JSPI.2018.10.001zbMATH Open1432.62312arXiv1807.10338OpenAlexW2883812008WikidataQ59162904 ScholiaQ59162904MaRDI QIDQ80218FDOQ80218

Authors: Guilherme Pumi, Marcio Valk, Cleber Bisognin, Fábio Mariano Bayer, Taiane Schaedler Prass, Guilherme Pumi, Marcio Valk, Cleber Bisognin, Fábio M. Bayer, Taiane Schaedler Prass 

Publication date: May 2019

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: In this work we introduce the class of beta autoregressive fractionally integrated moving average models for continuous random variables taking values in the continuous unit interval $(0,1)$. The proposed model accommodates a set of regressors and a long-range dependent time series structure. We derive the partial likelihood estimator for the parameters of the proposed model, obtain the associated score vector and Fisher information matrix. We also prove the consistency and asymptotic normality of the estimator under mild conditions. Hypotheses testing, diagnostic tools and forecasting are also proposed. A Monte Carlo simulation is considered to evaluate the finite sample performance of the partial likelihood estimators and to study some of the proposed tests. An empirical application is also presented and discussed.

Full work available at URL: https://arxiv.org/abs/1807.10338

Recommendations

• Beta autoregressive moving average models
• Partially linear beta regression model with autoregressive errors
• Bayesian analysis of autoregressive fractionally integrated moving-average processes
• A new non-linear \(AR(1)\) time series model having approximate beta marginals
• Conditional predictive inference for beta regression model with autoregressive errors

zbMATH Keywords

forecastasymptotic theorydouble bounded time serieslong-range dependencepartial likelihood

Mathematics Subject Classification ID

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

Cites Work

• Algorithm 778: L-BFGS-B
• Time series: theory and methods.
• Estimating the dimension of a model
• A new look at the statistical model identification
• Forecasting sales by exponentially weighted moving averages
• Title not available (Why is that?)
• A Limited Memory Algorithm for Bound Constrained Optimization
• Beta Regression for Modelling Rates and Proportions
• Influence diagnostics in beta regression
• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• Theory of partial likelihood
• Partial likelihood process and asymptotic normality
• Maximum likelihood estimates in exponential response models
• Prediction and classification of non-stationary categorical time series
• Erratum to: ``Beta autoregressive moving average models
• Beta regression for time series analysis of bounded data, with application to Canada Google\(^{\circledR}\) Flu Trends
• Joint generalized models for multidimensional outcomes: a case study of neuroscience data from multimodalities
• Title not available (Why is that?)
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• Long‐Memory Time Series
• Time series analysis. Forecasting and control
• On beta regression residuals
• Title not available (Why is that?)
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Title not available (Why is that?)
• Generalized Autoregressive Moving Average Models
• Title not available (Why is that?)
• ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
• Partial Likelihood Inference For Time Series Following Generalized Linear Models
• Time Series Models Based on Generalized Linear Models: Some Further Results
• Testing model adequacy for some Markov regression models for time series
• Distribution of the Serial Correlation Coefficient
• Beta autoregressive moving average models
• Sur le processus de vraisemblance partielle. (On the partial likelihood process)

Cited In (12)

• Unit-Weibull autoregressive moving average models
• Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
• Inflated beta autoregressive moving average models
• Prediction intervals in the beta autoregressive moving average model
• Goodness-of-fit tests for \(\beta\)ARMA hydrological time series modeling
• BTSR
• SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure
• Conway–Maxwell–Poisson seasonal autoregressive moving average model
• Beta seasonal autoregressive moving average models
• Bessel regression model: Robustness to analyze bounded data
• Beta autoregressive moving average models
• Efficient estimation method for generalized ARFIMA models

Uses Software

• R
• L-BFGS-B
• L-BFGS
• LBFGS-B

This page was built for publication: Beta autoregressive fractionally integrated moving average models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q80218)