New mixed time series models having approximated beta marginals

DOI10.1016/J.MCM.2011.03.002MaRDI QIDQ646124zbMATH OpenOpenAlexFDO

Authors B. V. Popović, Tibor K. Pogány

Publication date 11 November 2011

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2011.03.002

zbMATH Keywords

beta distributionapproximated beta marginalfirst order autoregressive modelKummer function of the first kind

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of hypergeometric functions (33C90)

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Cites work

• scientific article; zbMATH DE number 701137 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• AR(1) time series with approximated beta marginal
• Numerical Inversion of Laplace Transforms of Probability Distributions
• On mixed \(AR(1)\) time series model with approximated beta marginal
• Random coefficient autoregressive models: an introduction
• STATIONARITY OF THE SOLUTION OF X_t= A_tX_t-1+ ε_tAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
• The Lindeberg-Levy Theorem for Martingales

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• AR(1) time series with approximated beta marginal
• A new non-linear AR(1) time series model having approximate beta marginals
• On an AR(1) time series model with marginal two parameter Wright inverse-gamma distribution

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