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Models for circular data from time series spectra

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  • Masanobu Taniguchi
  • Shogo Kato
  • Hiroaki Ogata
  • Arthur Pewsey

Abstract

Circular data are those for which the natural support is the unit circle and its toroidal extensions. Numerous constructions have been proposed which can be used to generate models for such data. We propose a new, very general, one based on the normalization of the spectra of complex‐valued stationary processes. As illustrations of the new construction's application, we study models for univariate circular data obtained from the spectra of autoregressive moving average models and relate them to existing models in the literature. We also propose and investigate multivariate circular models obtained from the high‐order spectra of stationary stochastic processes generated using linear filtering with an autoregressive moving average response function. A new family of distributions for a Markov process on the circle is also introduced. Results for asymptotically optimal inference for dependent observations on the circle are presented which provide a new paradigm for inference with circular models. The application of one of the new families of spectra‐generated models is illustrated in an analysis of wind direction data.

Suggested Citation

  • Masanobu Taniguchi & Shogo Kato & Hiroaki Ogata & Arthur Pewsey, 2020. "Models for circular data from time series spectra," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 808-829, November.
  • Handle: RePEc:bla:jtsera:v:41:y:2020:i:6:p:808-829
    DOI: 10.1111/jtsa.12549
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    References listed on IDEAS

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    Cited by:

    1. Arthur Pewsey & Eduardo García-Portugués, 2021. "Recent advances in directional statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(1), pages 1-58, March.
    2. Shogo Kato & Arthur Pewsey & M. C. Jones, 2022. "Tractable circula densities from Fourier series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 595-618, September.

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