Institute for Forecasting of the Slovak Academy of Sciences

Centered‐Innovation MA for Bayesian Dirichlet ARMA: Theoretical Equivalence and an Application to Bank‐Asset Shares

ABSTRACT 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‐average block with a centered innovation that subtracts the Dirichlet conditional ALR mean,...