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

first order autoregressive modelKumaraswamy distributionKummer function of the first kindpower law distributiontwo parameter beta distributionWright function

Mathematics Subject Classification ID

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

Cites work

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• 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

(6)

• A new non-linear AR(1) time series model having approximate beta marginals
• Lindley first-order autoregressive model with applications
• On an AR(1) time series model with marginal two parameter Wright inverse-gamma distribution
• New mixed time series models having approximated beta marginals
• Robust ratio-typed test for location change under strong mixing heavy-tailed time series model
• M-procedures robust to structural changes detection under strong mixing heavy-tailed time series models

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Uses Software

• R

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