Product autoregressive models for non-negative variables

DOI10.1016/J.SPL.2012.04.022MaRDI QIDQ449010zbMATH OpenOpenAlexFDO

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

accept-reject algorithmconditional least squaresergodic sequencesgamma distributionproduct models

Mathematics Subject Classification ID

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

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

Cites work

• Analysis of Financial Time Series
• First-order autoregressive gamma sequences and point processes
• scientific article; zbMATH DE number 3278887 (Why is no real title available?)
• 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

(10)

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

Describes a project that uses

Uses Software

• FinTS

This page was built for publication: Product autoregressive models for non-negative variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q449010)