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Regime switching models for directional and linear observations

Author

Listed:
  • Harvey, A.
  • Palumbo, D.

Abstract

The score-driven approach to time series modeling provides a solution to the problem of modeling circular data and it can also be used to model switching regimes with intra-regime dynamics. Furthermore it enables a dynamic model to be fitted to a linear and a circular variable when the joint distribution is a cylinder. The viability of the new method is illustrated by estimating a model with dynamic switching and dynamic location and/or scale in each regime to hourly data on wind direction and speed in Galicia, north-west Spain.

Suggested Citation

  • Harvey, A. & Palumbo, D., 2021. "Regime switching models for directional and linear observations," Cambridge Working Papers in Economics 2123, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:2123
    Note: ach34, dp470
    as

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    File URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe2123.pdf
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    References listed on IDEAS

    as
    1. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, January.
    2. Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & Rutger-Jan Lange, 2017. "Volatility Modeling with a Generalized t Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 175-190, March.
    3. Lobato, Ignacio & Nankervis, John C & Savin, N E, 2001. "Testing for Autocorrelation Using a Modified Box-Pierce Q Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(1), pages 187-205, February.
    4. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    5. Drew Creal & Siem Jan Koopman & André Lucas, 2013. "Generalized Autoregressive Score Models With Applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 777-795, August.
    6. Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2017. "Time-Varying Transition Probabilities for Markov Regime Switching Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(3), pages 458-478, May.
    7. Francesco Lagona & Marco Picone & Antonello Maruotti, 2015. "A hidden Markov model for the analysis of cylindrical time series," Environmetrics, John Wiley & Sons, Ltd., vol. 26(8), pages 534-544, December.
    8. Leopoldo Catania, 2016. "Dynamic Adaptive Mixture Models," Papers 1603.01308, arXiv.org, revised Jan 2023.
    9. Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
    10. Harvey, A. & Hurn, S. & Thiele, S., 2019. "Modeling directional (circular) time series," Cambridge Working Papers in Economics 1971, Faculty of Economics, University of Cambridge.
    11. Jones, M.C. & Pewsey, Arthur, 2005. "A Family of Symmetric Distributions on the Circle," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1422-1428, December.
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    Cited by:

    1. Harvey, A., 2021. "Score-driven time series models," Cambridge Working Papers in Economics 2133, Faculty of Economics, University of Cambridge.

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    More about this item

    Keywords

    Circular data; conditional score; cylinder; hidden Markov model; von Mises distribution; wind.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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

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