Product autoregressive models for non-negative variables

DOI10.1016/J.SPL.2012.04.022MaRDI QIDQ449010zbMATHOpenAlexFDO

Authors B. Abraham, N. Balakrishna

Publication date 11 September 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL http://dyuthi.cusat.ac.in/purl/4725

zbMATH Keywords

conditional least squaresgamma distributionaccept-reject algorithmergodic sequencesproduct models

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10) Stationary stochastic processes (60G10)

Recommendations

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Cites work

• scientific article; zbMATH DE number 3278887 (Why is no real title available?)
• Analysis of Financial Time Series
• First-order autoregressive gamma sequences and point processes
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• On conditional least squares estimation for stochastic processes
• Product autoregression: a time-series characterization of the gamma distribution
• Simulation methodology - an introduction for queueing theorists
• The Lindeberg-Levy Theorem for Martingales
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations

Cited in

(8)

• On a class of bivariate exponential distributions
• Estimating function method for product autoregressive models
• Development of product autoregressive models
• scientific article; zbMATH DE number 5260662 (Why is no real title available?)
• Stochastic volatility generated by product autoregressive models
• Bootstrap, modified maximum likelihood and moment estimators comparison for parameters of autoregressive model with non-negative residuals
• Zero-modified count time series with Markovian intensities
• A simple nonnegative process for equilibrium models

Describes a project that uses

Uses Software

• FinTS

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