A note on mixed exponential distribution with negative weights

DOI10.1016/0167-7152(91)90153-IMaRDI QIDQ808571zbMATH OpenOpenAlexFDO

Authors Vesna Jevremovic

Publication date 1991

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

Full work available at URL https://doi.org/10.1016/0167-7152(91)90153-i

zbMATH Keywords

autoregressive processLaplace transformmixed exponential distribution with negative weights

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Consider n exponential distributions with parameters \(\lambda_ j\), \(j=1,2,...,n\); \(f_ j(x)=\lambda_ j\exp (-\lambda_ jx), x>0\), and n constants \(a_ j\), \(j=1,2,...,n\) satisfying the condition \(\sum a_ j=1\). The author uses an autoregressive process to obtain the p.d.f. of the above mixed exponential distribution with negative weights.

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