Unit-Weibull Autoregressive Moving Average Models
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Publication:80222
DOI10.48550/ARXIV.2211.02097arXiv2211.02097MaRDI QIDQ80222FDOQ80222
Cleiton Guollo Taufemback, Taiane Schaedler Prass, Guilherme Pumi
Publication date: 3 November 2022
Abstract: In this work we introduce the class of unit-Weibull Autoregressive Moving Average models for continuous random variables taking values in . The proposed model is an observation driven one, for which, conditionally on a set of covariates and the process' history, the random component is assumed to follow a unit-Weibull distribution parameterized through its th quantile. The systematic component prescribes an ARMA-like structure to model the conditional th quantile by means of a link. Parameter estimation in the proposed model is performed using partial maximum likelihood, for which we provide closed formulas for the score vector and partial information matrix. We also discuss some inferential tools, such as the construction of confidence intervals, hypotheses testing, model selection, and forecasting. A Monte Carlo simulation study is conducted to assess the finite sample performance of the proposed partial maximum likelihood approach. Finally, we examine the prediction power by contrasting our method with others in the literature using the Manufacturing Capacity Utilization from the US.
Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20)
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