Bayesian Analysis

A Time Series Model for Responses on the Unit Interval

A. Jara, L. E. Nieto-Barajas, and F. Quintana

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Abstract

We introduce an autoregressive model for responses that are restricted to lie on the unit interval, with beta-distributed marginals. The model includes strict stationarity as a special case, and is based on the introduction of a series of latent random variables with a simple hierarchical specification that achieves the desired dependence while being amenable to posterior simulation schemes. We discuss the construction, study some of the main properties, and compare it with alternative models using simulated data. We finally illustrate the usage of our proposal by modelling a yearly series of unemployment rates.

Article information

Source
Bayesian Anal., Volume 8, Number 3 (2013), 723-740.

Dates
First available in Project Euclid: 9 September 2013

Permanent link to this document
https://projecteuclid.org/euclid.ba/1378729926

Digital Object Identifier
doi:10.1214/13-BA844

Mathematical Reviews number (MathSciNet)
MR3102232

Zentralblatt MATH identifier
1329.62380

Keywords
Autoregressive models beta processes latent variables unemployment rates

Citation

Jara, A.; Nieto-Barajas, L. E.; Quintana, F. A Time Series Model for Responses on the Unit Interval. Bayesian Anal. 8 (2013), no. 3, 723--740. doi:10.1214/13-BA844. https://projecteuclid.org/euclid.ba/1378729926


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