A Bivariate Beta-Gamma Autoregressive Process (BVBGAR(1))

DOI10.1080/03610920802376330zbMath1162.62084OpenAlexW2038711425MaRDI QIDQ3631436

Miroslav M. Ristić, Hassan S. Bakouch

Publication date: 9 June 2009

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

Full work available at URL: http://www.informaworld.com/smpp/./content~db=all~content=a909715224

zbMATH Keywords

estimationstationary processgamma distributionspectral density matrixautocovariance matrixbeta-gamma transformationbivariate autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Nonparametric tolerance and confidence regions (62G15) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Higher-order moments, cumulants and spectral densities of the NGINAR(1) process

Cites Work

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• Product autoregression: a time-series characterization of the gamma distribution
• Some gamma processes based on the dirichlet-gamma transformation
• A Bivariate First-Order Autoregressive Time Series Model in Exponential Variables (BEAR(1))
• First-order autoregressive models for gamma and exponential processes

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