Modeling directional (circular) time series

Prof. Andrew Harvey, University of Cambridge,

  • Date: 21 MAY 2019  at 14:30

  • Event location: TBA

  • Type: Statistics Seminars

ABSTRACT

Circular observations pose special problems for time series mod-
eling. This article shows how the score-driven approach, developed
primarily in econometrics, provides a natural solution to the difficul-
ties and leads to a coherent and uni…ed 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.
JEL: C22

 

Contact person
Prof.ssa Alessandra Luati