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Partially linear beta regression model with autoregressive errors

Author

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  • Guillermo Ferreira
  • Jorge Figueroa-Zúñiga
  • Mário Castro

Abstract

This paper is focused on developing a methodology to deal with time series data on the unit interval modeled by a partially linear model with correlated disturbances from a Bayesian perspective. In this context, the linear predictor of the beta regression model incorporates an unknown smooth function with time as an auxiliary covariate and a set of regressors. In addition, an autoregressive dependence structure is proposed for the errors of the model. This formulation can capture the dynamic evolution of curves using both non-stochastic explanatory variables and non-parametric components, allowing an accurate fit with a limited number of parameters. Diagnostic measures are derived from the case-deletion approach and an influence measure based on the Kullback–Leibler divergence is studied and thus, a new method to determine the optimal order of the autoregressive processes through an adaptive procedure using the conditional predictive ordinate statistic is presented. A simulation study is conducted to assess some properties of the Bayesian estimator. Finally, the proposed methodology is illustrated in two real-life applications. Copyright Sociedad de Estadística e Investigación Operativa 2015

Suggested Citation

  • Guillermo Ferreira & Jorge Figueroa-Zúñiga & Mário Castro, 2015. "Partially linear beta regression model with autoregressive errors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 752-775, December.
    • Handle: RePEc:spr:testjl:v:24:y:2015:i:4:p:752-775
    DOI: 10.1007/s11749-015-0433-7
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    References listed on IDEAS

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