Time series models associated with Mittag-Leffler type distributions and its properties

DOI10.1080/03610926.2014.978946zbMATH Open1357.60042OpenAlexW1967353724MaRDI QIDQ2834722FDOQ2834722

Rudolf Gorenflo, Nicy Sebastian

Publication date: 23 November 2016

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.978946

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zbMATH Keywords

Poisson processrenewal theorytime series modelsfractional derivativeautoregressive processMittag-Leffler distributionsample path propertiesLaplacian model

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Fractional derivatives and integrals (26A33) Mittag-Leffler functions and generalizations (33E12) Renewal theory (60K05)

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• First-order autoregressive gamma sequences and point processes
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• The residual effect of a growth‐decay mechanism and the distributions of covariance structures
• On noncentral generalized Laplacianness of quadratic forms in normal variables

Cited In (1)

• Title not available (Why is that?)

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