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Faculty of Economics

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Harvey, A. C. and Palumbo, D.

Regime Switching Models for Circular and Linear Time Series

Journal of Time Series Analysis, forthcoming


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  

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