On mixed AR(1) time series model with approximated beta marginal

DOI10.1016/J.SPL.2010.06.009MaRDI QIDQ990925zbMATH OpenOpenAlexFDO

Authors B. V. Popović, Tibor K. Pogány, Saralees Nadarajah

Publication date 1 September 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.06.009

zbMATH Keywords

Wright functionKumaraswamy distributionfirst order autoregressive modelKummer function of the first kindpower law distributiontwo parameter beta distribution

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15)

Cites work

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• A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
• A new autoregressive time series model in exponential variables (NEAR(1))
• An Autoregressive Process for Beta Random Variables
• First-order autoregressive gamma sequences and point processes
• Kumaraswamy's distribution: a beta-type distribution with some tractability advantages
• Simulation of weibull and gamma autoregressive stationary process
• The mixed exponential solution to the first-order autoregressive model
• The representation of 𝑒^{-𝑥^{𝜆}} as a Laplace integral
• The uniform autoregressive process of the second order (UAR(2))

Cited in

(4)

• New mixed time series models having approximated beta marginals
• 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
• Lindley first-order autoregressive model with applications

Describes a project that uses

Uses Software

• R

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