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stat.ME2026
Directional-Shift Dirichlet ARMA Models for Compositional Time Series with Structural Break Intervention
Harrison Katz
Compositional time series frequently exhibit structural breaks due to external shocks, policy changes, or market disruptions. Standard methods either ignore such breaks or handle t…
stat.ME2026
Centered-Innovation MA for Bayesian Dirichlet ARMA: Theoretical Equivalence and an Application to Bank-Asset Shares
Harrison Katz
We study a minimal change to an observation-driven Bayesian Dirichlet ARMA (B--DARMA) for compositional time series: replace the raw additive log-ratio (ALR) residual in the moving…