Generalized Additive Modelling of Mixed Distribution Markov Models with Application to Melbourne's Rainfall
We 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.
|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|
|Contact details of provider:|| Postal: |
Phone: +61 3 99052489
Fax: +61 3 99055474
Web page: http://business.monash.edu/econometrics-and-business-statistics
More information through EDIRC
|Order Information:|| Web: http://business.monash.edu/econometrics-and-business-statistics Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hyndman, R.J. & Yao, Q., 1998.
"Nonparametric Estimation and Symmetry Tests for Conditional Density Functions,"
Monash Econometrics and Business Statistics Working Papers
17/98, Monash University, Department of Econometrics and Business Statistics.
- Qiwei Yao & Rob J. Hyndman, 2002. "Nonparametric estimation and symmetry tests for conditional density functions," LSE Research Online Documents on Economics 6092, London School of Economics and Political Science, LSE Library.
- Grunwald, Gary K. & Hyndman, Rob J., 1998. "Smoothing non-Gaussian time series with autoregressive structure," Computational Statistics & Data Analysis, Elsevier, vol. 28(2), pages 171-191, August.
When requesting a correction, please mention this item's handle: RePEc:msh:ebswps:1999-2. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr Xibin Zhang)
If references are entirely missing, you can add them using this form.