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Faculty of Economics

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Harvey, A., Hurn, S., Thiele, S.

Modeling directional (circular) time series

CWPE1971

Abstract: Circular observations pose special problems for time series modeling. This article shows how the score-driven approach, developed primarily in econometrics, provides a natural solution to the difficulties and leads to a coherent and unified methodology for estimation, model selection and testing. The new methods are illustrated with hourly data on wind direction.

Keywords: Autoregression, circular data, dynamic conditional score model, von Mises distribution, wind direction

JEL Codes: C22

Author links: Andrew Harvey  

PDF: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1971.pdf

Open Access Link: https://doi.org/10.17863/CAM.43915