Models for circular data from time series spectra

Masanobu Taniguchi, Shogo Kato, Hiroaki Ogata*, Arthur Pewsey

*この研究の対応する著者

研究成果: Article査読

1 被引用数 (Scopus)

抄録

Circular data are those for which the natural support is the unit circle and its toroidal extensions. Numerous constructions have been proposed which can be used to generate models for such data. We propose a new, very general, one based on the normalization of the spectra of complex-valued stationary processes. As illustrations of the new construction's application, we study models for univariate circular data obtained from the spectra of autoregressive moving average models and relate them to existing models in the literature. We also propose and investigate multivariate circular models obtained from the high-order spectra of stationary stochastic processes generated using linear filtering with an autoregressive moving average response function. A new family of distributions for a Markov process on the circle is also introduced. Results for asymptotically optimal inference for dependent observations on the circle are presented which provide a new paradigm for inference with circular models. The application of one of the new families of spectra-generated models is illustrated in an analysis of wind direction data.

本文言語English
ページ(範囲)808-829
ページ数22
ジャーナルJournal of Time Series Analysis
41
6
DOI
出版ステータスPublished - 2020 11月 1

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性
  • 応用数学

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