Estimating Functions for Circular Time Series Models

Aerambamoorthy Thavaneswaran and Nalini Ravishanker ()
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Aerambamoorthy Thavaneswaran: University of Manitoba
Nalini Ravishanker: University of Connecticut

Sankhya A: The Indian Journal of Statistics, 2023, vol. 85, issue 1, No 7, 198-213

Abstract: Abstract In this article, we describe an estimating function (EF) approach for circular time series models. We construct EFs based on conditional trigonometric moments of the circular discrete-time stochastic processes and provide closed form expressions for the optimal EF of the model parameters and its associated Godambe information. When the conditional circular mean and concentration are functions of the same parameters of interest, we show that the combined EF is more informative than its component sine and cosine EFs. We discuss recursive estimation of circular model parameters and illustrate the approach on two well known circular time series models.

Keywords: Combined EF; Godambe information; Möbius wrapped stable model; Sine model; trigonometric moments.; Primary 62M10; Secondary 62905 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s13171-020-00237-w

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