Transformed symmetric generalized autoregressive moving average models

Autor(es)

Gomes, Amanda S. ^[1] ; Morettin, Pedro A. ^[2] ; Cordeiro, Gauss M. ^[3] ; Taddeo, Marcelo M. ^[4]

Afiliação do(s) autor(es)

^[1] Univ Fed Campina Grande, Dept Stat, Campina Grande - Brazil

^[2] Univ Sao Paulo, Dept Stat, Sao Paulo - Brazil

^[3] Univ Fed Pernambuco, Dept Stat, Recife, PE - Brazil

^[4] Univ Fed Bahia, Dept Stat, Salvador, BA - Brazil

• Tipo de documento: Artigo Científico
• Fonte: STATISTICS; v. 52, n. 3, p. 643-664, 2018.
• Citações Web of Science: 0

Resumo

Cordeiro and Andrade {[}Transformed generalized linear models. J Stat Plan Inference. 2009;139:2970-2987] incorporated the idea of transforming the response variable to the generalized autoregressive moving average (GARMA) model, introduced by Benjamin etal. {[}Generalized autoregressive moving average models. J Am Stat Assoc. 2003;98:214-223], thus developing the transformed generalized autoregressive moving average (TGARMA) model. The goal of this article is to develop the TGARMA model for symmetric continuous conditional distributions with a possible nonlinear structure for the mean that enables the fitting of a wide range of models to several time series data types. We derive an iterative process for estimating the parameters of the new model by maximum likelihood and obtain a simple formula to estimate the parameter that defines the transformation of the response variable. Furthermore, we determine the moments of the original dependent variable which generalize previous published results. We illustrate the theory by means of real data sets and evaluate the results developed through simulation studies. (AU)

• Processo FAPESP: 13/00506-1 - Séries temporais, ondaletas e análise de dados funcionais
• Beneficiário: Pedro Alberto Morettin
• Modalidade de apoio: Auxílio à Pesquisa - Temático