On the marginal distribution of a first order autoregressive process

DOI10.1016/0167-7152(84)90058-0zbMath0531.62013OpenAlexW2007654704MaRDI QIDQ788416

Jeffrey D. Hart

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0167-7152(84)90058-0

zbMATH Keywords

symmetrytime seriesmarginal distributionsmultimodalityfirst order autoregressive processclass L distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Distribution theory (60E99)

Related Items

Statistical inference on spontaneous neuronal discharge patterns ⋮ THE DISTRIBUTION OF NONSTATIONARY AUTOREGRESSIVE PROCESSES UNDER GENERAL NOISE CONDITIONS

Cites Work

• Unnamed Item
• A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
• Non-Gaussian series and series with non-zero means: Practical implications for time series analysis
• Analysis of time series from mixed distributions
• Unimodality of infinitely divisible distribution functions of class L
• First-order autoregressive gamma sequences and point processes
• Product autoregression: a time-series characterization of the gamma distribution
• Robust Estimation of the First-Order Autoregressive Parameter