
Harvey, A. C. and Palumbo, D.
Regime Switching Models for Circular and Linear Time Series
Journal of Time Series Analysis, forthcoming
(2023)
Abstract: The score-driven approach to time series modelling is able to handle circular data and switching regimes with intra-regime dynamics. Furthermore it enables a dynamic model to be fitted to a linear and a circular variable when their joint distribution is a cylinder. The viability of the new method is illustrated by estimating models for hourly data on wind direction and speed in Galicia, north-west Spain. The modelling of intra-regime dynamics is shown to be of critical importance.
Keywords: circular data, conditional score, cylinder, hidden Markov model, von Mises distribution, wind
JEL Codes: C22, C32, C46
Author links: Andrew Harvey
Publisher's Link: https://doi.org/10.1111/jtsa.12678