On anAr(1) Time Series Model with Marginal Two Parameter Wright Inverse–Gamma Distribution

DOI10.1080/03610926.2010.521287zbMath1244.62127MaRDI QIDQ2903809

Božidar V. Popović

Publication date: 2 August 2012

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

Full work available at URL: https://doi.org/10.1080/03610926.2010.521287

zbMATH Keywords

first-order autoregressive model; Wright hypergeometric function; Krätzel function; inverse gamma-distribution

Mathematics Subject Classification ID

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

62F10: Point estimation

44A10: Laplace transform

33C90: Applications of hypergeometric functions

33C15: Confluent hypergeometric functions, Whittaker functions, ({}_1F_1)

Uses Software

• R

Cites Work

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• The representation of 𝑒^{-𝑥^{𝜆}} as a Laplace integral
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