Regime switching models for circular and linear time series. (English) Zbl 07731483
Summary: The score-driven approach to time series modelling is able to handle circular data and switching regimes with intra-regime dynamics. Furthermore it enables a dynamic model to be fitted to a linear and a circular variable when their joint distribution is a cylinder. The viability of the new method is illustrated by estimating models for hourly data on wind direction and speed in Galicia, north-west Spain. The modelling of intra-regime dynamics is shown to be of critical importance.
{© 2023 The Authors. Journal of Time Series Analysis published by John Wiley & Sons Ltd.}
{© 2023 The Authors. Journal of Time Series Analysis published by John Wiley & Sons Ltd.}
MSC:
| 62Mxx | Inference from stochastic processes |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
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