Product autoregressive models for non-negative variables

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Product autoregressive models for non-negative variables

Show simple item record Balakrishna, N Abraham, B 2014-09-23T09:24:35Z 2014-09-23T09:24:35Z 2012-05-07
dc.description Statistics and Probability Letters 82 (2012) 1530–1537 en_US
dc.description.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 en_US
dc.description.sponsorship Cochin University of Science and Technology en_US
dc.language.iso en en_US
dc.publisher Elsevier en_US
dc.subject Accept–reject algorithm en_US
dc.subject Conditional least squares en_US
dc.subject Ergodic sequences en_US
dc.subject Gamma distribution en_US
dc.subject Product models en_US
dc.title Product autoregressive models for non-negative variables en_US
dc.type Article en_US

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