A mixed stationary autoregressive model with exponential marginals

DOI10.1007/S00362-016-0741-3MaRDI QIDQ1685294zbMATH OpenOpenAlexWikidataFDO

Authors B. V. Popović, Miroslav M. Ristić, Narayana Balakrishna

Publication date 13 December 2017

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-016-0741-3

zbMATH Keywords

mixture modelsautoregressive processesminification processesconditional least squares estimationexponential marginal distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

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Cites work

• A generalized semi-Pareto minification process
• A mixed INAR(p) model
• A time-reversibility relationship between two Markov chains with exponential stationary distributions
• An exponential Markovian stationary process
• Autoregressive logistic processes
• Estimation in nonlinear time series models
• First-order autoregressive gamma sequences and point processes
• Marshall-Olkin extended uniform distribution
• Minification processes and their transformations
• On a Mixture Autoregressive Model
• Pareto processes
• Semi-Pareto processes
• Simulation of weibull and gamma autoregressive stationary process

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(4)

• Random coefficient minification processes
• Estimating function method for nonnegative autoregressive models
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