Inverse Gaussian Autoregressive Models

DOI10.1111/1467-9892.00161MaRDI QIDQ4956032zbMATH OpenOpenAlexFDO

Authors

Publication date 24 May 2000

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00161

zbMATH Keywords

asymptotic normalityempirical Laplace transformfirst order autoregressionheavy tailsinverse Gaussian distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(10)

• Detecting conditional independence for modeling non-Gaussian time series
• A characterization of the innovations of first order autoregressive models
• Mixed Poisson INAR(1) processes
• Transform martingale estimating functions
• On normal-Laplace stochastic volatility model
• Lindley first-order autoregressive model with applications
• On an AR(1) time series model with marginal two parameter Wright inverse-gamma distribution
• A notable Gamma-Lindley first-order autoregressive process: an application to hydrological data
• Geometric infinitely divisible autoregressive models
• Intervened exponential autoregressive model and it’s applications

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