Positive Time Series Regression Models
Methodology
2022-01-12 v1
Abstract
In this paper we discuss dynamic ARMA-type regression models for time series taking values in . In the proposed model, the conditional mean is modeled by a dynamic structure containing autoregressive and moving average terms, time-varying regressors, unknown parameters and link functions. We introduce the new class of models and discuss partial maximum likelihood estimation, hypothesis testing inference, diagnostic analysis and forecasting.
Cite
@article{arxiv.2201.03667,
title = {Positive Time Series Regression Models},
author = {Taiane Schaedler Prass and Jonas Hendler Carlos and Cleiton Guolo Taufemback and Guilherme Pumi},
journal= {arXiv preprint arXiv:2201.03667},
year = {2022}
}