Transformed GARMA model: properties and simulations
Authors:
- Breno Silveira de Andrade,
- Jacek Leskow,
- Marinho G. Andrade
Abstract
Real time series can present anomalies, like non-additivity, nonnormality, and heteroscedasticity, which makes using GARMA models impossible. Our article introduces a new class of models called Transformed Generalized Autoregressive Moving Average (TGARMA) models that allow using transformations to guarantee the GARMA assumptions.We present an extensive simulation study of the influence of the transformation on GARMA estimation. We also propose using bootstrap methods to get more information about the distribution of the transformation parameter. We apply the methodology to data related to annual Swedish fertility rates.
- Record ID
- CUT032ca458a48241ba97e304cb7c2328ef
- Publication categories
- ;
- Author
- Journal series
- Communications in Statistics-Simulation and Computation, ISSN 0361-0918, e-ISSN 1532-4141
- Issue year
- 2017
- Vol
- 46
- No
- 9
- Pages
- 7166-7179
- Other elements of collation
- schem.; tab.; wykr.; Bibliografia (na s.) - 7179; Oznaczenie streszczenia - Abstr.; Numeracja w czasopiśmie - Vol. 46, No 9
- Keywords in English
- bootstrap, gamma distribution, generalized ARMA model, inverse gaussian distribution, transformation
- DOI
- DOI:10.1080/03610918.2016.1230215 Opening in a new tab
- URL
- https://www.tandfonline.com/doi/full/10.1080/03610918.2016.1230215 Opening in a new tab
- Related project
- Miary relatywne i ich zastosowania do modelowania sygnałów. . Project leader at PK: , ,
Projects financed by NSC [Projekty finansowane przez NCN] - Language
- eng (en) English
- Score (nominal)
- 15
- Additional fields
- Indeksowana w: Web of Science, Scopus
- Uniform Resource Identifier
- https://cris.pk.edu.pl/info/article/CUT032ca458a48241ba97e304cb7c2328ef/
- URN
urn:pkr-prod:CUT032ca458a48241ba97e304cb7c2328ef
* presented citation count is obtained through Internet information analysis, and it is close to the number calculated by the Publish or PerishOpening in a new tab system.