Publicación: MODELING HIGH-FREQUENCY ZEROS IN TIME SERIES WITH GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH EXPLANATORY VARIABLES: AN APPLICATION TO PRECIPITATION
Fecha
2024
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AXIOMS
Resumen
AN EXTENSION OF THE GENERALIZED AUTOREGRESSIVE SCORE (GAS) MODEL IS PRESENTED FOR TIME SERIES WITH EXCESS NULL OBSERVATIONS TO INCLUDE EXPLANATORY VARIABLES. AN EXTENSION OF THE GAS MODEL PROPOSED BY HARVEY AND ITO IS SUGGESTED, AND IT IS APPLIED TO PRECIPITATION DATA FROM A CITY IN CHILE. IT IS CONCLUDED THAT THE MODEL PROVIDES ADEQUATE PREDICTION, AND FURTHERMORE, AN ANALYSIS OF THE RELATIONSHIP BETWEEN THE PRECIPITATION VARIABLE AND THE EXPLANATORY VARIABLES IS SHOWN. THIS RELATIONSHIP IS COMPARED WITH THE METEOROLOGY LITERATURE, DEMONSTRATING CONCURRENCE.
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zero-augmented, generalized beta dynamic conditional score model distribution of the second kin, generalized autoregressive score
