IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/123873.html
   My bibliography  Save this paper

A beta prime ARMA model for positive time series

Author

Listed:
  • Aknouche, Abdelhakim
  • Almohaimeed, Bader
  • Dimitrakopoulos, Stefanos

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.

Suggested Citation

  • Aknouche, Abdelhakim & Almohaimeed, Bader & Dimitrakopoulos, Stefanos, 2025. "A beta prime ARMA model for positive time series," MPRA Paper 123873, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:123873
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/123873/1/MPRA_paper_123873.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Nonnegative time series data; Beta Prime ARMA; Generalized ARMA; ergodicity; Two-stage weighted least squares; Geometric QMLE.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:123873. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.