循环和线性时间序列的状态切换模型

IF 1.2 4区数学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Journal of Time Series Analysis Pub Date : 2023-01-16 DOI:10.1111/jtsa.12678

Andrew Harvey, Dario Palumbo

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引用次数: 1

摘要

时间序列建模的分数驱动方法能够处理循环数据和具有体制内动态的切换体制。此外，当线性变量和圆形变量的联合分布为圆柱体时，它可以将动态模型拟合到它们。通过估计西班牙西北部加利西亚每小时风向和风速数据的模型，说明了新方法的可行性。政权内部动态的建模被证明是至关重要的。

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Regime switching models for circular and linear time series

The score-driven approach to time series modelling is able to handle circular data and switching regimes with intra-regime dynamics. Furthermore it enables a dynamic model to be fitted to a linear and a circular variable when their joint distribution is a cylinder. The viability of the new method is illustrated by estimating models for hourly data on wind direction and speed in Galicia, north-west Spain. The modelling of intra-regime dynamics is shown to be of critical importance.

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来源期刊

Journal of Time Series Analysis 数学-数学跨学科应用

CiteScore

2.00

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： During the last 30 years Time Series Analysis has become one of the most important and widely used branches of Mathematical Statistics. Its fields of application range from neurophysiology to astrophysics and it covers such well-known areas as economic forecasting, study of biological data, control systems, signal processing and communications and vibrations engineering. The Journal of Time Series Analysis started in 1980, has since become the leading journal in its field, publishing papers on both fundamental theory and applications, as well as review papers dealing with recent advances in major areas of the subject and short communications on theoretical developments. The editorial board consists of many of the world''s leading experts in Time Series Analysis.