Time series models associated with Mittag-Leffler type distributions and its properties

DOI10.1080/03610926.2014.978946zbMath1357.60042OpenAlexW1967353724MaRDI QIDQ2834722

Rudolf Gorenflo, Nicy Sebastian

Publication date: 23 November 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.978946

zbMATH Keywords

renewal theoryPoisson processfractional derivativeautoregressive processMittag-Leffler distributiontime series modelssample path propertiesLaplacian model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Exact distribution theory in statistics (62E15) Fractional derivatives and integrals (26A33) Mittag-Leffler functions and generalizations (33E12) Renewal theory (60K05)

Cites Work

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• On noncentral generalized Laplacianness of quadratic forms in normal variables
• A generalized gamma model associated with a Bessel function
• First-order autoregressive gamma sequences and point processes
• The residual effect of a growth‐decay mechanism and the distributions of covariance structures

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