Beta autoregressive fractionally integrated moving average models
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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 . 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.
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Cited in
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- Prediction intervals in the beta autoregressive moving average model
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- SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure
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- Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
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- Bayesian analysis of beta autoregressive moving average models
- Order selection in GARMA models for count time series: a Bayesian perspective
- Positive time series regression models: theoretical and computational aspects
- BTSR
- Partially linear beta regression model with autoregressive errors
- A time series model for responses on the unit interval
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