Modeling directional (circular) time series
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Authors
Harvey, A.
Hurn, S.
Thiele, S.
Abstract
Circular observations pose special problems for time series modeling. This article shows how the score-driven approach, developed primarily in econometrics, provides a natural solution to the difficulties and leads to a coherent and unified methodology for estimation, model selection and testing. The new methods are illustrated with hourly data on wind direction.
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Keywords
Autoregression, circular data, dynamic conditional score model, von Mises distribution, wind direction
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Publisher
Faculty of Economics