Regime switching models for directional and linear observations

Andrew Harvey and Dario Palumbo

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: The score-driven approach to time series modeling provides a solution to the problem of modeling circular data and it can also be used to model switching regimes with intra-regime dynamics. Furthermore it enables a dynamic model to be fitted to a linear and a circular variable when the joint distribution is a cylinder. The viability of the new method is illustrated by estimating a model with dynamic switching and dynamic location and/or scale in each regime to hourly data on wind direction and speed in Galicia, north-west Spain.

Keywords: Circular data; conditional score; cylinder; hidden Markov model; von Mises distribution; wind. (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Date: 2021-03-10
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
Note: ach34, dp470
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:2123

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