期刊
SCANDINAVIAN JOURNAL OF STATISTICS
卷 48, 期 1, 页码 68-86出版社
WILEY
DOI: 10.1111/sjos.12439
关键词
chaotic processes; generalized linear models; time series
资金
- FAPERGS [ARD 01/2017, 17/2551-0000826-0]
This work introduces a class of dynamic models for time series on the unit interval, which is flexible and can accommodate various characteristics of time series. Monte Carlo simulation is used to assess the effectiveness of the partial maximum likelihood approach for parameter estimation.
In this work, we introduce a class of dynamic models for time series taking values on the unit interval. The proposed model follows a generalized linear model approach where the random component, conditioned on the past information, follows a beta distribution, while the conditional mean specification may include covariates and also an extra additive term given by the iteration of a map that can present chaotic behavior. The resulting model is very flexible and its systematic component can accommodate short- and long-range dependence, periodic behavior, laminar phases, etc. We derive easily verifiable conditions for the stationarity of the proposed model, as well as conditions for the law of large numbers and a Birkhoff-type theorem to hold. A Monte Carlo simulation study is performed to assess the finite sample behavior of the partial maximum likelihood approach for parameter estimation in the proposed model. Finally, an application to the proportion of stored hydroelectrical energy in Southern Brazil is presented.
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