A Beta-Gamma autoregressive process of the second-order (BGAR(2))

DOI10.1016/J.SPL.2005.04.015MaRDI QIDQ2485552zbMATH OpenOpenAlexFDO

Authors Miroslav M. Ristić

Publication date 5 August 2005

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.04.015

zbMATH Keywords

Gamma distributionEstimationBeta-Gamma transformationConditional least-squaresRandom coefficient representation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 3928144 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
• A new autoregressive time series model in exponential variables (NEAR(1))
• ESTIMATION OF THE PARAMETERS OF AN EAR(p) PROCESS
• First-order autoregressive gamma sequences and point processes
• Gamma processes
• On conditional least squares estimation for stochastic processes
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• The uniform autoregressive process of the second order (UAR(2))
• Time series: theory and methods

Cited in

(5)

• Gamma processes
• The uniform autoregressive process of the second order (UAR(2))
• A quasi-locally most powerful test for correlation in the conditional variance of positive data
• A Bivariate Beta-Gamma Autoregressive Process (BVBGAR(1))
• An Autoregressive Process for Beta Random Variables

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