Stationary Time Series Models with Exponential Dispersion Model Margins

DOI10.1239/jap/1032192553zbMath0906.60035OpenAlexW2055035452MaRDI QIDQ4393827

Peter X.-K. Song, Bent Jørgensen

Publication date: 31 January 1999

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1032192553

zbMATH Keywords

saddlepoint approximationthinningmoving average processinfinite divisibilityautoregressive processconvolution-closed familynonnormal time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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