期刊
TEST
卷 18, 期 3, 页码 529-545出版社
SPRINGER
DOI: 10.1007/s11749-008-0112-z
关键词
ARMA; Beta distribution; Beta ARMA; Forecasts
资金
- Coordenacao de Aperfeioamento de Pessoal de Nivel Superior (CAPES)
- Conselho Nacional de Desenvolvimento Cientfico e Tecnologico (CNPq)
We build upon the class of beta regressions introduced by Ferrari and Cribari-Neto (J. Appl. Stat. 31:799-815, 2004) to propose a dynamic model for continuous random variates that assume values in the standard unit interval (0,1). The proposed beta ARMA model includes both autoregressive and moving average dynamics, and also includes a set of regressors. We discuss parameter estimation, hypothesis testing, goodness-of-fit assessment and forecasting. In particular, we give closed-form expressions for the score function and for Fisher's information matrix. An application that uses real data is presented and discussed.
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