A Note on the Innovation Distribution of a Gamma Distributed Autoregressive Process

DOI10.1111/1467-9469.00208zbMath0976.62091MaRDI QIDQ2742768

Stephen G. Walker

Publication date: 23 September 2001

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00208

zbMATH Keywords

autoregressive processes; gamma distributions; Poisson distributions; shot-noise processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E15: Exact distribution theory in statistics

62E10: Characterization and structure theory of statistical distributions

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