Regime switching models for circular and linear time series

DOI10.1111/jtsa.12678OpenAlexW4316668538MaRDI QIDQ6135353

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Publication date: 24 August 2023

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12678

zbMATH Keywords

hidden Markov modelvon Mises distributioncylinderconditional scorecircular data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

Cites Work

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• The analysis of directional time series: Applications to wind speed and direction. (Based on the author's thesis, Univ. of Western Australia in Perth)
• Copula-based segmentation of cylindrical time series
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• A cylindrical distribution with heavy-tailed linear part
• An interior algorithm for nonlinear optimization that combines line search and trust region steps
• Recent advances in directional statistics
• Topics in Circular Statistics
• Dynamic Models for Volatility and Heavy Tails
• Evaluating Specification Tests for Markov-Switching Time-Series Models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Family of Symmetric Distributions on the Circle
• Hidden Markov Models for Time Series

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