|Title:||Generalized discrete autoregressive moving-average models||Authors:||Möller, Tobias
Weiß, Christian H.
|Language:||en||Keywords:||Universitätsbibliographie;Evaluation 2020||Issue Date:||1-Jul-2020||Publisher:||Wiley||Document Type:||Article||Source:||Enthalten in: Applied stochastic models in business and industry. - Chichester : Wiley, 1999. - Online-Ressource . - Bd. 36.2020, 4, Seite 641-659||Journal / Series / Working Paper (HSU):||Applied stochastic models in business and industry||Volume:||36||Issue:||4||Page Start:||641||Page End:||659||Publisher Place:||Chichester||Abstract:||
© 2020 The Authors. Applied Stochastic Models in Business and Industry published by John Wiley & Sons, Ltd. This article proposes the generalized discrete autoregressive moving-average (GDARMA) model as a parsimonious and universally applicable approach for stationary univariate or multivariate time series. The GDARMA model can be applied to any type of quantitative time series. It allows to compute moment properties in a unique way, and it exhibits the autocorrelation structure of the traditional ARMA model. This great flexibility is obtained by using data-specific variation operators, which is illustrated for the most common types of time series data, such as counts, integers, reals, and compositional data. The practical potential of the GDARMA approach is demonstrated by considering a time series of integers regarding votes for a change of the interest rate, and a time series of compositional data regarding television market shares.
|Organization Units (connected with the publication):||Quantitative Methoden der Wirtschaftswissenschaften||URL:||https://ub.hsu-hh.de/DB=1/XMLPRS=N/PPN?PPN=1745188304||ISBN:||15264025
|Appears in Collections:||2020|
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