Product Autoregressive Models: Review of Properties, Estimation Methods and Applications
Analysis of continuous non-negative time series data using multiplicative models is a growing area of research. When the variable of interest is non-negative, often some methodology based on transformation was followed in the literature. Even though a useful class of models known as product autoreg...
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| Format: | Article |
| Language: | English |
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Austrian Statistical Society
2025-05-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | https://www.ajs.or.at/index.php/ajs/article/view/2010 |
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| _version_ | 1849335663165440000 |
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| author | Rahul Thekkedath Shiji Kavungal Muhammed Anvar P |
| author_facet | Rahul Thekkedath Shiji Kavungal Muhammed Anvar P |
| author_sort | Rahul Thekkedath |
| collection | DOAJ |
| description |
Analysis of continuous non-negative time series data using multiplicative models is a growing area of research. When the variable of interest is non-negative, often some methodology based on transformation was followed in the literature. Even though a useful class of models known as product autoregressive models was appeared in the literature long back, the further advancements happened only in the last decade. Through subsequent developments, it was shown that the product form of an additive autoregressive model is preferable to its linear counterpart when non-negativity has to be taken care. This paper aims to provide an exhaustive review of theoretical and empirical works conducted on product autoregressive models in the context of non-linear and non-Gaussian time series modelling. The notable properties, estimation methods and applications of these models are discussed followed by a description of some possible future research avenues on this area.
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| format | Article |
| id | doaj-art-415a41acc6a24fbe9b6e4a94d0d92c5e |
| institution | Kabale University |
| issn | 1026-597X |
| language | English |
| publishDate | 2025-05-01 |
| publisher | Austrian Statistical Society |
| record_format | Article |
| series | Austrian Journal of Statistics |
| spelling | doaj-art-415a41acc6a24fbe9b6e4a94d0d92c5e2025-08-20T03:45:11ZengAustrian Statistical SocietyAustrian Journal of Statistics1026-597X2025-05-0154410.17713/ajs.v54i4.2010Product Autoregressive Models: Review of Properties, Estimation Methods and ApplicationsRahul Thekkedath0Shiji Kavungal1Muhammed Anvar P2Reserve Bank of IndiaSree Kerala Varma CollegeKannur University Analysis of continuous non-negative time series data using multiplicative models is a growing area of research. When the variable of interest is non-negative, often some methodology based on transformation was followed in the literature. Even though a useful class of models known as product autoregressive models was appeared in the literature long back, the further advancements happened only in the last decade. Through subsequent developments, it was shown that the product form of an additive autoregressive model is preferable to its linear counterpart when non-negativity has to be taken care. This paper aims to provide an exhaustive review of theoretical and empirical works conducted on product autoregressive models in the context of non-linear and non-Gaussian time series modelling. The notable properties, estimation methods and applications of these models are discussed followed by a description of some possible future research avenues on this area. https://www.ajs.or.at/index.php/ajs/article/view/2010 |
| spellingShingle | Rahul Thekkedath Shiji Kavungal Muhammed Anvar P Product Autoregressive Models: Review of Properties, Estimation Methods and Applications Austrian Journal of Statistics |
| title | Product Autoregressive Models: Review of Properties, Estimation Methods and Applications |
| title_full | Product Autoregressive Models: Review of Properties, Estimation Methods and Applications |
| title_fullStr | Product Autoregressive Models: Review of Properties, Estimation Methods and Applications |
| title_full_unstemmed | Product Autoregressive Models: Review of Properties, Estimation Methods and Applications |
| title_short | Product Autoregressive Models: Review of Properties, Estimation Methods and Applications |
| title_sort | product autoregressive models review of properties estimation methods and applications |
| url | https://www.ajs.or.at/index.php/ajs/article/view/2010 |
| work_keys_str_mv | AT rahulthekkedath productautoregressivemodelsreviewofpropertiesestimationmethodsandapplications AT shijikavungal productautoregressivemodelsreviewofpropertiesestimationmethodsandapplications AT muhammedanvarp productautoregressivemodelsreviewofpropertiesestimationmethodsandapplications |