A beta prime ARMA model for positive time series

Abdelhakim Aknouche, Bader Almohaimeed and Stefanos Dimitrakopoulos

MPRA Paper from University Library of Munich, Germany

Abstract: A class of generalized ARMA models with an identity link function and a conditional beta prime (BP-ARMA) distribution is proposed for modeling positive time series. Sufficient and necessary conditions for the existence of an ergodic stationary BP-ARMA process having finite moments are first proposed. Then, the parameters are estimated using the geometric quasi-maximum likelihood method, the convergence and asymptotic normality of which are shown under reasonable assumptions. The proposed methodology is illustrated through a simulation study and an application to the S&P 500 volume.

Keywords: Nonnegative time series data; Beta Prime ARMA; Generalized ARMA; ergodicity; Two-stage weighted least squares; Geometric QMLE. (search for similar items in EconPapers)
JEL-codes: C1 C13 C32 C41 (search for similar items in EconPapers)
Date: 2025-02-08
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