Erratum to: Beta autoregressive moving average models
نویسندگان
چکیده
منابع مشابه
Stationarity of Generalized Autoregressive Moving Average Models
Time series models are often constructed by combining nonstationary effects such as trends with stochastic processes that are believed to be stationary. Although stationarity of the underlying process is typically crucial to ensure desirable properties or even validity of statistical estimators, there are numerous time series models for which this stationarity is not yet proven. A major barrier...
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When modeling time series data using autoregressive-moving average processes, it is a common practice to presume that the residuals are normally distributed. However, sometimes we encounter non-normal residuals and asymmetry of data marginal distribution. Despite widespread use of pure autoregressive processes for modeling non-normal time series, the autoregressive-moving average models have le...
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The di erential geometry of autoregressive fractionally integrated moving average processes is developed. Properties of Toeplitz forms associated with the spectral density functions of these long memory processes are used to compute the geometric quantities. The role of these geometric quantities on the asymptotic bias of the maximum likelihood estimates of the model parameters and on the Bartl...
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We establish asymptotic normality and consistency for rank-based estimators of autoregressive-moving average model parameters. The estimators are obtained by minimizing a rank-based residual dispersion function similar to the one given in L.A. Jaeckel [Estimating regression coefficients by minimizing the dispersion of the residuals, Ann. Math. Statist. 43 (1972) 1449–1458]. These estimators can...
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Periodic autoregressive moving average (PARMA) models are indicated for time series whose mean, variance and covariance function vary with the season. In this study, we develop and implement forecasting procedures for PARMA models. Forecasts are developed using the innovations algorithm, along with an idea of Ansley. A formula for the asymptotic error variance is provided, so that Gaussian pred...
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ژورنال
عنوان ژورنال: TEST
سال: 2017
ISSN: 1133-0686,1863-8260
DOI: 10.1007/s11749-017-0528-4