Specialised class \(L\) property and stationary autoregressive process (Q1324589)

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.