A Bivariate First-Order Autoregressive Time Series Model in Exponential Variables (BEAR(1))

DOI10.1287/mnsc.35.10.1236zbMath0682.62063OpenAlexW2146505672MaRDI QIDQ4732006

Peter A. W. Lewis, Lee S. Sen. Dewald, E.McKenzie

Publication date: 1989

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.35.10.1236

zbMATH Keywords

NEAR(2)first-order autoregressive structureBEAR(1) modelbivariate exponential variablescorrelation structure of ARMA(2,1) modelsGaussian AR(1) bivariate time series modellinear random coefficient difference equation modelNew Exponential Autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (10)

Some properties of multivariate INAR(1) processes ⋮ A bivariate uniform autoregressive process ⋮ A bivariate INAR(1) model with different thinning parameters ⋮ Bivariate semi-Pareto distributions and processes ⋮ A geometric bivariate time series with different marginal parameters ⋮ A bivariate \(INAR(1)\) time series model with geometric marginals ⋮ A Generalization to Bivariate Mittag–Leffler and Bivariate Discrete Mittag–Leffler Autoregressive Processes ⋮ A Bivariate Beta-Gamma Autoregressive Process (BVBGAR(1)) ⋮ A simple integer-valued bilinear time series model ⋮ Estimation in a bivariate integer-valued autoregressive process

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