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Statistics seminar 2019 - “Modeling directional (circular) time series"

21/05/2019 dalle 14:30 alle 16:30

Dove Dipartimento di Scienze Statistiche - via delle Belle Arti 41 - Aula III - 2° piano

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Andrew Harvey - University of Cambridge

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.

KEYWORDS: Circular data, diurnal e¤ects; dynamic conditional
score model; von Mises distribution; wind direction.


Alessandra Luati