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Regime switching models for circular and linear time series

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  • Andrew Harvey
  • Dario Palumbo

Abstract

The score‐driven approach to time series modelling is able to handle circular data and switching regimes with intra‐regime dynamics. Furthermore it enables a dynamic model to be fitted to a linear and a circular variable when their joint distribution is a cylinder. The viability of the new method is illustrated by estimating models for hourly data on wind direction and speed in Galicia, north‐west Spain. The modelling of intra‐regime dynamics is shown to be of critical importance.

Suggested Citation

  • Andrew Harvey & Dario Palumbo, 2023. "Regime switching models for circular and linear time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(4), pages 374-392, July.
    • Handle: RePEc:bla:jtsera:v:44:y:2023:i:4:p:374-392
    DOI: 10.1111/jtsa.12678
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    References listed on IDEAS

    as
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    2. Markus Haas, 2004. "A New Approach to Markov-Switching GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 2(4), pages 493-530.
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    6. Arthur Pewsey & Eduardo García-Portugués, 2021. "Rejoinder on: 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 76-82, March.
    7. Leopoldo Catania, 2021. "Dynamic Adaptive Mixture Models with an Application to Volatility and Risk," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 531-564.
    8. Abe, Toshihiro & Ley, Christophe, 2017. "A tractable, parsimonious and flexible model for cylindrical data, with applications," Econometrics and Statistics, Elsevier, vol. 4(C), pages 91-104.
    9. 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.
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    Full references (including those not matched with items on IDEAS)

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