A multivariate semi-logistic autoregressive process and its characterization

DOI10.1016/J.SPL.2011.03.039MaRDI QIDQ553089zbMATH OpenOpenAlexFDO

Authors Hsiaw-Chan Yeh

Publication date 26 July 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.03.039

zbMATH Keywords

characterizationmaximization processesMSL\(^{(1)}\)-AR(1)MSL\(^{(2)}\)-AR(1) processesmultivariate semi-logistic distributions

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Inequalities; stochastic orderings (60E15) Discrete-time Markov processes on general state spaces (60J05) Exact distribution theory in statistics (62E15)

Review text

Three new multivariate semi-logistic distributions (denoted by \(\text{MSL}^{(1)}\), \(\text{MSL}^{(2)}\), and GMSL, respectively) have been recently studied by the present author [J. Multivariate Anal. 101, 893--908 (2010; Zbl 1181.62074)], which are more general than and may serve as competitors to the multivariate logistic distributions of \textit{E. J. Gumbel} [J. Am. Stat. Assoc. 56, 335--349 (1961; Zbl 0099.14502)] and \textit{B. C. Arnold} [``Multivariate logistic distributions, in: Handbook of the logistic distribution. Statistics: Textbooks and Monographs. 123. New York: Marcel Dekker. 237--261 (1992; Zbl 0794.62001)]. Presently, an autoregressive multivariate stochastic model is constructed, which yields a stationary Markov process with \(\text{MSL}^{(1)}\) as a marginal invariant distribution. This model is denoted by \(\text{MSL}^{(1)}\)-AR(1). Several distributional properties of \(\text{MSL}^{(1)}\)-AR(1), as well as a characterization, are derived. Furthermore, an \(\text{MSL}^{(2)}\)-AR(1) process is also constructed and studied.

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Cited in

(5)

• Multivariate semi-logistic distributions
• Four general multivariate stationary extremal Markovian processes
• On bivariate logistic distributions and processes
• Autoregressive logistic processes
• On the stationary marginal distributions of subclasses of multivariate setar processes of order one

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