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

DOI10.1016/j.spl.2010.06.009zbMath1456.62213OpenAlexW2004318174MaRDI QIDQ990925

Božidar 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

power law distributionWright functionKumaraswamy distributionfirst order autoregressive modelKummer function of the first kindtwo parameter beta distribution

Mathematics Subject Classification ID

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

Related Items (4)

On anAr(1) Time Series Model with Marginal Two Parameter Wright Inverse–Gamma Distribution ⋮ A new non-linear \(AR(1)\) time series model having approximate beta marginals ⋮ New mixed time series models having approximated beta marginals ⋮ Lindley first-order autoregressive model with applications

Uses Software

• R

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
• The uniform autoregressive process of the second order (UAR(2))
• An Autoregressive Process for Beta Random Variables
• Simulation of weibull and gamma autoregressive stationary process
• The mixed exponential solution to the first-order autoregressive model
• First-order autoregressive gamma sequences and point processes
• A new autoregressive time series model in exponential variables (NEAR(1))
• The representation of 𝑒^{-𝑥^{𝜆}} as a Laplace integral

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