Positive Time Series Regression Models

01/10/2022

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by   Taiane Schaedler Prass, et al.

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In this paper we discuss dynamic ARMA-type regression models for time series taking values in (0,∞). In the proposed model, the conditional mean is modeled by a dynamic structure containing autoregressive and moving average terms, time-varying regressors, unknown parameters and link functions. We introduce the new class of models and discuss partial maximum likelihood estimation, hypothesis testing inference, diagnostic analysis and forecasting.