On anAr(1) Time Series Model with Marginal Two Parameter Wright Inverse–Gamma Distribution

DOI10.1080/03610926.2010.521287zbMath1244.62127OpenAlexW2041033357MaRDI QIDQ2903809

Božidar V. Popović

Publication date: 2 August 2012

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

Full work available at URL: https://doi.org/10.1080/03610926.2010.521287

zbMATH Keywords

first-order autoregressive modelWright hypergeometric functionKrätzel functioninverse gamma-distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Laplace transform (44A10) Applications of hypergeometric functions (33C90) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15)

Uses Software

• R

Cites Work

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• ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL
• An Autoregressive Process for Beta Random Variables
• Simulation of weibull and gamma autoregressive stationary process
• STATIONARITY OF THE SOLUTION OF X_t= A_tX_t-1+ ε_tAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
• 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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