Generalized Additive Modelling of Mixed Distribution Markov Models with Application to Melbourne's Rainfall
AbstractWe consider modelling time series using a generalized additive model with first- order Markov structure and mixed transition density having a discrete component at zero and a continuous component with positive sample space. Such models have application, for example, in modelling daily occurrence and intensity of rainfall, and in modelling the number and size of insurance claims. We show how these methods extend the usual sinusoidal seasonal assumption in standard chain- dependent models by assuming a general smooth pattern of occurrence and intensity over time. These models can be fitted using standard statistical software. The methods of Grunwald and Jones (1998) can be used to combine these separate occurrence and intensity models into a single model for amount. We use 36 years of rainfall data from Melbourne, Australia, as a vehicle of illustration, and use the models to investigate the effect of the El Nino phenomenon on Melbourne's rainfall.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 2/99.
Length: 14 pages
Date of creation: Jan 1999
Date of revision:
Publication status: Published in Australian and New Zealand J. Statistics (2000), vol. 42, no. 2, pp.145-158
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-04-25 (All new papers)
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Monash Econometrics and Business Statistics Working Papers
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