Specialised class \(L\) property and stationary autoregressive process (Q1324589)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Specialised class \(L\) property and stationary autoregressive process |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Specialised class \(L\) property and stationary autoregressive process |
scientific article |
Statements
Specialised class \(L\) property and stationary autoregressive process (English)
0 references
1 November 1994
0 references
The paper derives the innovation distribution of the \(p\)th order autoregressive process the marginals of which have Mittag-Leffler distributions (so-called Mittag-Leffler autoregressive process MLAR\((p))\). Mittag-Leffler distibutions have been introduced in the paper by \textit{R. N. Pillai} [Ann. Inst. Stat. Math. 42, No. 1, 157-161 (1990; Zbl 0714.60009)]. They include the exponential distribution and are related to a specialised class \({\mathcal L}\) property. The characterization of stationarity of \(\text{AR} (p)\) processes with innovation is given by means of Mittag-Leffler distributions.
0 references
autoregressive process
0 references
Mittag-Leffler autoregressive process
0 references
Mittag- Leffler distributions
0 references
exponential distribution
0 references
0 references
