New mixed time series models having approximated beta marginals

DOI10.1016/J.MCM.2011.03.002zbMath1225.62128OpenAlexW2093581654MaRDI 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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Related Items (1)

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

Uses Software

• R

Cites Work

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• 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
• Numerical Inversion of Laplace Transforms of Probability Distributions
• The Lindeberg-Levy Theorem for Martingales
• AR(1) time series with approximated Beta marginal

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