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Beta autoregressive moving average models

Author

Listed:
  • Andréa Rocha

    ()

  • Francisco Cribari-Neto

Abstract

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Suggested Citation

  • Andréa Rocha & Francisco Cribari-Neto, 2009. "Beta autoregressive moving average models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 18(3), pages 529-545, November.
  • Handle: RePEc:spr:testjl:v:18:y:2009:i:3:p:529-545
    DOI: 10.1007/s11749-008-0112-z
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    Citations

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    Cited by:

    1. repec:spr:testjl:v:26:y:2017:i:2:d:10.1007_s11749-017-0528-4 is not listed on IDEAS
    2. repec:spr:stpapr:v:59:y:2018:i:1:d:10.1007_s00362-016-0753-z is not listed on IDEAS
    3. Edilberto Cepeda-Cuervo & Daniel Jaimes & Margarita Marín & Javier Rojas, 2016. "Bayesian beta regression with Bayesianbetareg R-package," Computational Statistics, Springer, vol. 31(1), pages 165-187, March.
    4. Zheng, Tingguo & Xiao, Han & Chen, Rong, 2015. "Generalized ARMA models with martingale difference errors," Journal of Econometrics, Elsevier, vol. 189(2), pages 492-506.
    5. Andréa Rocha & Alexandre Simas, 2011. "Influence diagnostics in a general class of beta regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(1), pages 95-119, May.
    6. repec:eee:jmvana:v:158:y:2017:i:c:p:31-46 is not listed on IDEAS
    7. Božidar Popović & Saralees Nadarajah & Miroslav Ristić, 2013. "A new non-linear AR(1) time series model having approximate beta marginals," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(1), pages 71-92, January.
    8. 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.
    9. repec:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0747-x is not listed on IDEAS
    10. Billio Monica & Casarin Roberto, 2011. "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-32, September.
    11. Cepeda-Cuervo Edilberto & Garrido Liliana, 2015. "Bayesian beta regression models with joint mean and dispersion modeling," Monte Carlo Methods and Applications, De Gruyter, vol. 21(1), pages 49-58, March.
    12. Denis Surzhko, 2017. "Bayesian Approach to PD Calibration and Stress-testing in Low Default Portfolios," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-6.

    More about this item

    Keywords

    ARMA; Beta distribution; Beta ARMA; Forecasts; 62M10; 91B84;

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