Title: Censored time series analysis for responses on the unit interval: An application to acid rain modeling
Authors: Mauricio Castro - Pontificia Universidad Catolica de Chile (Chile) [presenting]
Fernanda Schumacher - Instituto Brasileiro de Geografia e Estatistica (Brazil)
Victor Hugo Lachos Davila - University of Connecticut (United States)
Guillermo Ferreira - Universidad de Concepcion (Chile)
Abstract: An autoregressive model is proposed for time series in which the variable of interest lie on the unit interval being subjected to certain threshold values below or above which the measurements are not quantifiable. The model includes the independent beta regression as a special case. We provide a full Bayesian approach for the estimation of the model parameters using standard Markov Chain Monte Carlo (MCMC) methods, simulating samples for the joint posterior distribution. We discuss the construction of the proposed model and compare it with alternative models using simulated and real data sets.