Modeling directional (circular) time series
Stan Hurn and
Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
Circular observations pose special problems for time series modeling. This article shows how the score-driven approach, developed primarily in econometrics, provides a natural solution to the difficulties and leads to a coherent and unified methodology for estimation, model selection and testing. The new methods are illustrated with hourly data on wind direction.
Keywords: Autoregression; circular data; dynamic conditional score model; von Mises distribution; wind direction (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:1971
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