New mixed time series models having approximated beta marginals

DOI10.1016/J.MCM.2011.03.002zbMATH Open1225.62128OpenAlexW2093581654MaRDI QIDQ646124FDOQ646124

Tibor K. Pogány, B. V. Popović

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

Recommendations

• A new non-linear \(AR(1)\) time series model having approximate beta marginals
• AR(1) time series with approximated beta marginal
• scientific article; zbMATH DE number 4192907
• On an AR(1) time series model with marginal two parameter Wright inverse-gamma distribution
• Beta autoregressive moving average models

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)

Cites Work

• Title not available (Why is that?)
• The Lindeberg-Levy Theorem for Martingales
• STATIONARITY OF THE SOLUTION OF X_t= A_tX_t-1+ ε_tAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Random coefficient autoregressive models: an introduction
• Title not available (Why is that?)
• AR(1) time series with approximated Beta marginal
• On mixed \(AR(1)\) time series model with approximated beta marginal

Cited In (1)

• A new non-linear \(AR(1)\) time series model having approximate beta marginals

Uses Software

• R

This page was built for publication: New mixed time series models having approximated beta marginals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q646124)