Discrete-time autoregressive model for unequally spaced time-series observations

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dc.contributor.authorElorrieta, Felipe
dc.contributor.authorEyheramendy, Susana
dc.contributor.authorPalma, Wilfredo
dc.date.accessioned2025-01-23T21:11:56Z
dc.date.available2025-01-23T21:11:56Z
dc.date.issued2019
dc.description.abstractMost time-series models assume that the data come from observations that are equally spaced in time. However, this assumption does not hold in many diverse scientific fields, such as astronomy, finance, and climatology, among others. There are some techniques that fit unequally spaced time series, such as the continuous-time autoregressive moving average (CARMA) processes. These models are defined as the solution of a stochastic differential equation. It is not uncommon in astronomical time series, that the time gaps between observations are large. Therefore, an alternative suitable approach to modeling astronomical time series with large gaps between observations should be based on the solution of a difference equation of a discrete process. In this work we propose a novel model to fit irregular time series called the complex irregular autoregressive (CIAR) model that is represented directly as a discrete-time process. We show that the model is weakly stationary and that it can be represented as a state-space system, allowing efficient maximum likelihood estimation based on the Kalman recursions. Furthermore, we show via Monte Carlo simulations that the finite sample performance of the parameter estimation is accurate. The proposed methodology is applied to light curves from periodic variable stars, illustrating how the model can be implemented to detect poor adjustment of the harmonic model. This can occur when the period has not been accurately estimated or when the variable stars are multiperiodic. Last, we show how the CIAR model, through its state space representation, allows unobserved measurements to be forecast.
dc.fuente.origenWOS
dc.identifier.doi10.1051/0004-6361/201935560
dc.identifier.eissn1432-0746
dc.identifier.issn0004-6361
dc.identifier.urihttps://doi.org/10.1051/0004-6361/201935560
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/100931
dc.identifier.wosidWOS:000475288300001
dc.language.isoen
dc.revistaAstronomy & astrophysics
dc.rightsacceso restringido
dc.subjectmethods: statistical
dc.subjectmethods: data analysis
dc.subjectstars: general
dc.titleDiscrete-time autoregressive model for unequally spaced time-series observations
dc.typeartículo
dc.volumen627
sipa.indexWOS
sipa.trazabilidadWOS;2025-01-12
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