A reversibility relationship for two Markovian time series models by stationary exponential tailed distribution

DOI10.2307/3215050zbMath0803.62082OpenAlexW2326329425MaRDI QIDQ4305665

R. P. Littlejohn

Publication date: 5 January 1995

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3215050

zbMATH Keywords

exponential tailminification processnon-Gaussian time seriesexponential autoregressionfirst-order autoregressive time seriesminification stationary non-negative time seriesmutually reversible time seriestime reversibility relationship

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05)

Related Items (3)

A reversibility relationship ⋮ Random coefficient minification processes ⋮ Generalized normal-Laplace AR process

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