Beta autoregressive moving average models
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References listed on IDEAS
- A. O’Hagan, 1997. "Properties of intrinsic and fractional Bayes factors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 6(1), pages 101-118, June.
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- repec:spr:testjl:v:26:y:2017:i:2:d:10.1007_s11749-017-0528-4 is not listed on IDEAS
- 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.
- Zheng, Tingguo & Xiao, Han & Chen, Rong, 2015. "Generalized ARMA models with martingale difference errors," Journal of Econometrics, Elsevier, vol. 189(2), pages 492-506.
- 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.
- repec:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0747-x is not listed on IDEAS
- 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.
- 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.
- repec:eee:jmvana:v:158:y:2017:i:c:p:31-46 is not listed on IDEAS
- 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.
- 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.
- 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.
More about this item
KeywordsARMA; Beta distribution; Beta ARMA; Forecasts; 62M10; 91B84;
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