Product autoregressive models for non-negative variables

DOI10.1016/J.SPL.2012.04.022zbMath1316.60048OpenAlexW2101529099MaRDI QIDQ449010

J. Herrera, D. Rodríguez-Gómez

Publication date: 11 September 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://dyuthi.cusat.ac.in/purl/4725

zbMATH Keywords

gamma distributionaccept-reject algorithmconditional least squaresergodic sequencesproduct models

Mathematics Subject Classification ID

Point estimation (62F10) Exact distribution theory in statistics (62E15) Stationary stochastic processes (60G10)

Related Items (2)

Zero-modified count time series with Markovian intensities ⋮ On a class of bivariate exponential distributions

Uses Software

• FinTS

Cites Work

• Unnamed Item
• Simulation methodology - an introduction for queueing theorists
• On conditional least squares estimation for stochastic processes
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• First-order autoregressive gamma sequences and point processes
• Product autoregression: a time-series characterization of the gamma distribution
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• The Lindeberg-Levy Theorem for Martingales
• Analysis of Financial Time Series

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