Regime switching models for circular and linear time series

Andrew Harvey and Dario Palumbo

Journal of Time Series Analysis, 2023, vol. 44, issue 4, 374-392

Abstract: The score‐driven approach to time series modelling is able to handle circular data and switching regimes with intra‐regime dynamics. Furthermore it enables a dynamic model to be fitted to a linear and a circular variable when their joint distribution is a cylinder. The viability of the new method is illustrated by estimating models for hourly data on wind direction and speed in Galicia, north‐west Spain. The modelling of intra‐regime dynamics is shown to be of critical importance.

Date: 2023
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