New mixed time series models having approximated beta marginals
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Publication:646124
DOI10.1016/j.mcm.2011.03.002zbMath1225.62128MaRDI QIDQ646124
Tibor K. Pogány, Božidar 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
beta distribution; approximated beta marginal; first order autoregressive model; Kummer function of the first kind
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E15: Exact distribution theory in statistics
33C90: Applications of hypergeometric functions
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- AR(1) time series with approximated Beta marginal