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

DOI10.1016/J.SPL.2010.06.009zbMATH Open1456.62213OpenAlexW2004318174MaRDI QIDQ990925FDOQ990925

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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• Kumaraswamy's distribution: a beta-type distribution with some tractability advantages
• A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
• An Autoregressive Process for Beta Random Variables
• Simulation of weibull and gamma autoregressive stationary process
• First-order autoregressive gamma sequences and point processes
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• The representation of 𝑒^{-𝑥^{𝜆}} as a Laplace integral
• A new autoregressive time series model in exponential variables (NEAR(1))
• Title not available (Why is that?)
• The uniform autoregressive process of the second order (UAR(2))
• The mixed exponential solution to the first-order autoregressive model

Cited In (4)

• Lindley first-order autoregressive model with applications
• A new non-linear \(AR(1)\) time series model having approximate beta marginals
• New mixed time series models having approximated beta marginals
• On an AR(1) time series model with marginal two parameter Wright inverse-gamma distribution

Uses Software

• R

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