On anAr(1) Time Series Model with Marginal Two Parameter Wright Inverse–Gamma Distribution
From MaRDI portal
Publication:2903809
DOI10.1080/03610926.2010.521287zbMath1244.62127MaRDI QIDQ2903809
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
first-order autoregressive model; Wright hypergeometric function; Krätzel function; inverse gamma-distribution
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
Cites Work
- On mixed \(AR(1)\) time series model with approximated beta marginal
- A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
- The uniform autoregressive process of the second order (UAR(2))
- On the function whose Laplace-transform is $e^{-s^{α}}
- ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL
- An Autoregressive Process for Beta Random Variables
- Simulation of weibull and gamma autoregressive stationary process
- STATIONARITY OF THE SOLUTION OF Xt= AtXt-1+ εtAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
- The mixed exponential solution to the first-order autoregressive model
- First-order autoregressive gamma sequences and point processes
- A new autoregressive time series model in exponential variables (NEAR(1))
- The representation of 𝑒^{-𝑥^{𝜆}} as a Laplace integral
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item