Modelling irregularly spaced time series under preferential sampling

• Type: Article in International Scientific Journal
• Date: 2020

Authors

Monteiro, A (Author) Other; Menezes, R (Author) Other; Maria Eduarda Silva (Author) FEP

Journal

Title: Revstat Statistical Journal

Vol. 18 No. 5

Pages: 661-672

ISSN: 1645-6726

Publisher: Instituto Nacional De Estatistica

Indexing

ISI Web of Knowledge - 0 Citations

Scopus - 0 Citations

Other information

Authenticus ID: P-00S-XHV

Abstract (EN): Irregularly spaced time series are commonly encountered in the analysis of time series. A particular case is that in which the collection procedure over time depends also on the observed values. In such situations, there is stochastic dependence between the process being modeled and the times at which the observations are made. Ignoring this dependence can lead to biased estimates and misleading inferences. In this paper, we introduce the concept of preferential sampling in the temporal dimension and we propose a model to make inference and prediction. The methodology is illustrated using artificial data as well a real data set.

Language: English

Type (Professor's evaluation): Scientific