建模定向（循环）时间序列

MODELING DIRECTIONAL (CIRCULAR) TIME SERIES

作者：

哈维，A（Harvey，A）

修恩（Hurn，S）

Thiele，S（Thiele，S）

Circular observations pose special problems for time series modeling. This article shows how the score-driven approach, developed primarily in econometrics, provides a natural solution to the difficulties and leads to a coherent and unified methodology for estimation, model selection and testing. The new methods are illustrated with hourly data on wind direction.
循环观测为时间序列建模带来了特殊问题。本文说明了主要在计量经济学中发展的分数驱动方法如何自然解决难题，并为估算，模型选择和测试提供了一种统一而统一的方法。通过每小时的风向数据说明了新方法。