Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10773/24476
Título: | A full ARMA model for counts with bounded support and its application to rainy-days time series |
Autor: | Gouveia, Sónia Möller, Tobias A. Weiß, Christian H. Scotto, Manuel G. |
Palavras-chave: | Binomial variation Count time series ARMA structure Rainy-days time series |
Data: | Set-2018 |
Editora: | Springer |
Resumo: | Motivated by a large dataset containing time series of weekly number of rainy days collected over two thousand locations across Europe and Russia for the period 2000–2010, we propose a new class of ARMA-like model for time series of bounded counts, which can also handle extra-binomial variation. We abbreviate this model as bvARMA, as it is based upon a novel operation referred to as binomial variation. After having discussed important stochastic properties and proposed a model-fitting approach relying on maximum likelihood estimation, we apply the bvARMA model family to the rainy-days time series. Results show that both bvAR and bvMA models are adequate and exhibit a similar performance. Furthermore, bvARMA results outperform those obtained by fitting ordinary discrete ARMA (NDARMA) models of the same order. |
Peer review: | yes |
URI: | http://hdl.handle.net/10773/24476 |
DOI: | 10.1007/s00477-018-1584-3 |
ISSN: | 1436-3240 |
Versão do Editor: | https://link.springer.com/article/10.1007/s00477-018-1584-3 |
Aparece nas coleções: | CIDMA - Artigos IEETA - Artigos PSG - Artigos |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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2018 Gouveiaetal bvARMA.pdf | 2.17 MB | Adobe PDF |
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