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

DOI10.1016/J.SPL.2005.04.015zbMATH Open1077.62073OpenAlexW2164193915MaRDI QIDQ2485552FDOQ2485552

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

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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)

Cites Work

• Time series: theory and methods
• On conditional least squares estimation for stochastic processes
• A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
• Title not available (Why is that?)
• First-order autoregressive gamma sequences and point processes
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• Gamma processes
• A new autoregressive time series model in exponential variables (NEAR(1))
• Title not available (Why is that?)
• ESTIMATION OF THE PARAMETERS OF AN EAR(p) PROCESS
• The uniform autoregressive process of the second order (UAR(2))

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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