A characterization of the innovations of first order autoregressive models

DOI10.1007/s00184-014-0497-5zbMath1333.62214OpenAlexW1978486345WikidataQ61927784 ScholiaQ61927784MaRDI QIDQ2256093

Jordi Valero, Pedro Puig, D. Morina

Publication date: 19 February 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-014-0497-5

zbMATH Keywords

time seriescharacterization of distributionsAR(1) models

Mathematics Subject Classification ID

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

Cites Work

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• A new non-linear \(AR(1)\) time series model having approximate beta marginals
• First-order autoregressive gamma sequences and point processes
• Product autoregression: a time-series characterization of the gamma distribution
• Inverse Gaussian Autoregressive Models

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