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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

Generalized autoregressive and moving average models: multicollinearity, interpretation and a new modified model

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Esparza Albarracin, Orlando Yesid [1] ; Alencar, Airlane Pereira [1] ; Ho, Linda Lee [2]
Total Authors: 3
[1] IME USP, Sao Paulo - Brazil
[2] EP USP, Sao Paulo - Brazil
Total Affiliations: 2
Document type: Journal article
Source: JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION; v. 89, n. 10, p. 1819-1840, JUL 3 2019.
Web of Science Citations: 0

In this paper, we call attention of two observed features in practical applications of the Generalized Autoregressive Moving Average (GARMA) model due to the structure of its linear predictor. One is the multicollinearity which may lead to a non-convergence of the maximum likelihood, using iteratively reweighted least squares, and the inflation of the estimator's variance. The second is that the inclusion of the same lagged observations into the autoregressive and moving average components confounds the interpretation of the parameters. A modified model, GAR-M, is presented to reduce the multicollinearity and to improve the interpretation of the parameters. The expectation and variance under stationarity conditions are presented for the identity and logarithm link function. In a general sense, simulation studies show that the maximum likelihood estimators based on the GARMA and GAR-M models are equivalent but the GAR-M estimators presented a little lower standard errors and some restrictions in the parametric space are imposed to guarantee the stationarity of the process. Also, a real data analysis illustrates the GAR-M fit for daily hospitalization rates of elderly people due to respiratory diseases from October 2012 to April 2015 in SAo Paulo city, Brazil. (AU)

FAPESP's process: 18/04654-9 - Time series, wavelets and high dimensional data
Grantee:Pedro Alberto Morettin
Support type: Research Projects - Thematic Grants