The Chen Autoregressive Moving Average Model for Modeling Asymmetric Positive Continuous Time Series
In this paper, we introduce a new dynamic model for time series based on the Chen distribution, which is useful for modeling asymmetric, positive, continuous, and time-dependent data. The proposed Chen autoregressive moving average (CHARMA) model combines the flexibility of the Chen distribution wit...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-08-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/15/9/1675 |
| _version_ | 1797576601879183360 |
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| author | Renata F. Stone Laís H. Loose Moizés S. Melo Fábio M. Bayer |
| author_facet | Renata F. Stone Laís H. Loose Moizés S. Melo Fábio M. Bayer |
| author_sort | Renata F. Stone |
| collection | DOAJ |
| description | In this paper, we introduce a new dynamic model for time series based on the Chen distribution, which is useful for modeling asymmetric, positive, continuous, and time-dependent data. The proposed Chen autoregressive moving average (CHARMA) model combines the flexibility of the Chen distribution with the use of covariates and lagged terms to model the conditional median response. We introduce the CHARMA structure and discuss conditional maximum likelihood estimation, hypothesis testing inference along with the estimator asymptotic properties of the estimator, diagnostic analysis, and forecasting. In particular, we provide closed-form expressions for the conditional score vector and the conditional information matrix. We conduct a Monte Carlo experiment to evaluate the introduced theory in finite sample sizes. Finally, we illustrate the usefulness of the proposed model by exploring two empirical applications in a wind-speed and maximum-temperature time-series dataset. |
| first_indexed | 2024-03-10T21:54:17Z |
| format | Article |
| id | doaj.art-24a2e1cf47f342ff873c5afc582f8664 |
| institution | Directory Open Access Journal |
| issn | 2073-8994 |
| language | English |
| last_indexed | 2024-03-10T21:54:17Z |
| publishDate | 2023-08-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Symmetry |
| spelling | doaj.art-24a2e1cf47f342ff873c5afc582f86642023-11-19T13:11:04ZengMDPI AGSymmetry2073-89942023-08-01159167510.3390/sym15091675The Chen Autoregressive Moving Average Model for Modeling Asymmetric Positive Continuous Time SeriesRenata F. Stone0Laís H. Loose1Moizés S. Melo2Fábio M. Bayer3Departamento de Estatística, Universidade Federal de Santa Maria, Santa Maria 97105-900, Brazil Departamento de Estatística, Universidade Federal de Santa Maria, Santa Maria 97105-900, Brazil Departamento de Estatística, Universidade Federal de Santa Maria, Santa Maria 97105-900, Brazil Departamento de Estatística, Universidade Federal de Santa Maria, Santa Maria 97105-900, Brazil In this paper, we introduce a new dynamic model for time series based on the Chen distribution, which is useful for modeling asymmetric, positive, continuous, and time-dependent data. The proposed Chen autoregressive moving average (CHARMA) model combines the flexibility of the Chen distribution with the use of covariates and lagged terms to model the conditional median response. We introduce the CHARMA structure and discuss conditional maximum likelihood estimation, hypothesis testing inference along with the estimator asymptotic properties of the estimator, diagnostic analysis, and forecasting. In particular, we provide closed-form expressions for the conditional score vector and the conditional information matrix. We conduct a Monte Carlo experiment to evaluate the introduced theory in finite sample sizes. Finally, we illustrate the usefulness of the proposed model by exploring two empirical applications in a wind-speed and maximum-temperature time-series dataset.https://www.mdpi.com/2073-8994/15/9/1675CHARMA modelChen distributionforecasttime series |
| spellingShingle | Renata F. Stone Laís H. Loose Moizés S. Melo Fábio M. Bayer The Chen Autoregressive Moving Average Model for Modeling Asymmetric Positive Continuous Time Series Symmetry CHARMA model Chen distribution forecast time series |
| title | The Chen Autoregressive Moving Average Model for Modeling Asymmetric Positive Continuous Time Series |
| title_full | The Chen Autoregressive Moving Average Model for Modeling Asymmetric Positive Continuous Time Series |
| title_fullStr | The Chen Autoregressive Moving Average Model for Modeling Asymmetric Positive Continuous Time Series |
| title_full_unstemmed | The Chen Autoregressive Moving Average Model for Modeling Asymmetric Positive Continuous Time Series |
| title_short | The Chen Autoregressive Moving Average Model for Modeling Asymmetric Positive Continuous Time Series |
| title_sort | chen autoregressive moving average model for modeling asymmetric positive continuous time series |
| topic | CHARMA model Chen distribution forecast time series |
| url | https://www.mdpi.com/2073-8994/15/9/1675 |
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