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Title: Modelling irregularly spaced time series under preferential sampling
Author: Monteiro, Andreia
Menezes, Raquel
Silva, Maria Eduarda
Keywords: Preferential sampling
Time series
Continuous time autoregressive process
Issue Date: Oct-2020
Publisher: Instituto Nacional de Estatística
Abstract: Irregularly spaced time series are commonly encountered in the analysis of time series. A particular case is that in which the collection procedure over time depends also on the observed values. In such situations, there is stochastic dependence between the process being modeled and the times at which the observations are made. Ignoring this dependence can lead to biased estimates and misleading inferences. In this paper, we introduce the concept of preferential sampling in the temporal dimension and we propose a model to make inference and prediction. The methodology is illustrated using artificial data as well a real data set.
Peer review: yes
ISSN: 1645-6726
Publisher Version:
Appears in Collections:CIDMA - Artigos
PSG - Artigos

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