Symbolic interval-valued data analysis for time series based on auto-interval-regressive models

Liang-Ching Lin (), Hsiang-Lin Chien and Sangyeol Lee
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Liang-Ching Lin: National Cheng Kung University
Hsiang-Lin Chien: National Cheng Kung University
Sangyeol Lee: Seoul National University

Statistical Methods & Applications, 2021, vol. 30, issue 1, No 12, 295-315

Abstract: Abstract This study considers interval-valued time series data. To characterize such data, we propose an auto-interval-regressive (AIR) model using the order statistics from normal distributions. Furthermore, to better capture the heteroscedasticity in volatility, we design a heteroscedastic volatility AIR (HVAIR) model. We derive the likelihood functions of the AIR and HVAIR models to obtain the maximum likelihood estimator. Monte Carlo simulations are then conducted to evaluate our methods of estimation and confirm their validity. A real data example from the S&P 500 Index is used to demonstrate our method.

Keywords: AIR model; HVAIR model; Interval-valued time series; Order statistics; Symbolic data analysis (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10260-020-00525-7

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