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| DOI | 10.1016/j.jeconom.2023.02.016 |
| Modelling circular time series☆ | |
| 发表日期 | 2024 |
| ISSN | 0304-4076 |
| EISSN | 1872-6895 |
| 起始页码 | 239 |
| 结束页码 | 1 |
| 卷号 | 239期号:1 |
| 英文摘要 | Circular variables often play an important role in the construction of models for analysing and forecasting the consequences of climate change and its impact on the environment. Such variables pose special problems for time series modelling. 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 data on wind direction. (c) 2023 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). |
| 英文关键词 | Directional statistics; Dynamic conditional score model; Nonstationarity; von Mises distribution; Wind direction |
| 语种 | 英语 |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| WOS类目 | Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods |
| WOS记录号 | WOS:001199255600001 |
| 来源期刊 | JOURNAL OF ECONOMETRICS
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| 文献类型 | 期刊论文 |
| 条目标识符 | http://gcip.llas.ac.cn/handle/2XKMVOVA/289890 |
| 作者单位 | University of Cambridge; Universita Ca Foscari Venezia; University of Cambridge; Queensland University of Technology (QUT); Universita Ca Foscari Venezia |
| 推荐引用方式 GB/T 7714 | . Modelling circular time series☆[J],2024,239(1). |
| APA | (2024).Modelling circular time series☆.JOURNAL OF ECONOMETRICS,239(1). |
| MLA | "Modelling circular time series☆".JOURNAL OF ECONOMETRICS 239.1(2024). |
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