On an AR(1) time series model with marginal two parameter Wright inverse-gamma distribution

DOI10.1080/03610926.2010.521287MaRDI QIDQ2903809zbMATH OpenOpenAlexFDO

Authors B. 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 modelWright hypergeometric functioninverse gamma-distributionKrätzel function

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Laplace transform (44A10) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15) Applications of hypergeometric functions (33C90)

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Cites work

• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 5030021 (Why is no real title available?)
• scientific article; zbMATH DE number 3081880 (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))
• An Autoregressive Process for Beta Random Variables
• First-order autoregressive gamma sequences and point processes
• ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL
• On mixed \(AR(1)\) time series model with approximated beta marginal
• On the function whose Laplace-transform is $e^{-s^{α}}
• STATIONARITY OF THE SOLUTION OF X_t= A_tX_t-1+ ε_tAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
• Simulation of weibull and gamma autoregressive stationary process
• The mixed exponential solution to the first-order autoregressive model
• The representation of 𝑒^{-𝑥^{𝜆}} as a Laplace integral
• The uniform autoregressive process of the second order (UAR(2))

Cited in

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• New mixed time series models having approximated beta marginals
• AR(1) time series with approximated beta marginal

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