Product autoregressive models for non-negative variables

DOI10.1016/J.SPL.2012.04.022zbMATH Open1316.60048OpenAlexW2101529099MaRDI QIDQ449010FDOQ449010

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

Recommendations

• NON‐NEGATIVE AUTOREGRESSIVE MODELS
• ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER
• Development of product autoregressive models
• NON-NEGATIVE AUTOREGRESSIVE PROCESSES
• Nonlinear Autoregression with Positive Innovations

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)

Cites Work

• Analysis of Financial Time Series
• The Lindeberg-Levy Theorem for Martingales
• Simulation methodology - an introduction for queueing theorists
• On conditional least squares estimation for stochastic processes
• Title not available (Why is that?)
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• First-order autoregressive gamma sequences and point processes
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Product autoregression: a time-series characterization of the gamma distribution

Cited In (5)

• Estimating function method for product autoregressive models
• Title not available (Why is that?)
• Zero-modified count time series with Markovian intensities
• On a class of bivariate exponential distributions
• Stochastic volatility generated by product autoregressive models

Uses Software

• FinTS

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