An Autoregressive Process for Beta Random Variables

DOI10.1287/MNSC.31.8.988MaRDI QIDQ3746730zbMATH OpenOpenAlexFDO

Authors E.McKenzie

Publication date 1985

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.31.8.988

zbMATH Keywords

simulationDirichlet distributionautocorrelation functionsdiscrete time Markov processbivariate beta distributionsbeta marginal distributionsbivariate uniform processstationary first-order autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05)

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