DSpace About DSpace Software
 

Dyuthi @ CUSAT >
e-SCHOLARSHIP >
Statistics >
Faculty >
Dr.N. Balakrishna >

Please use this identifier to cite or link to this item: http://purl.org/purl/4725

Title: Product autoregressive models for non-negative variables
Authors: Balakrishna, N
Abraham, B
Keywords: Accept–reject algorithm
Conditional least squares
Ergodic sequences
Gamma distribution
Product models
Issue Date: 7-May-2012
Publisher: Elsevier
Abstract: When variables in time series context are non-negative, such as for volatility, survival time or wave heights, a multiplicative autoregressive model of the type Xt = Xα t−1Vt , 0 ≤ α < 1, t = 1, 2, . . . may give the preferred dependent structure. In this paper, we study the properties of such models and propose methods for parameter estimation. Explicit solutions of the model are obtained in the case of gamma marginal distribution
Description: Statistics and Probability Letters 82 (2012) 1530–1537
URI: http://dyuthi.cusat.ac.in/purl/4725
Appears in Collections:Dr.N. Balakrishna

Files in This Item:

File Description SizeFormat
Product autoregressive models for non-negative variables.pdfpdf254.6 kBAdobe PDFView/Open
View Statistics

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - Feedback