engleski

Mixed AR(1) time series models with marginals having approximated Beta distribution

Two different mixed first order AR(1) time series models are investigated when the marginal distribution is a two-parameter Beta B_2(p, q). The asymptotic of Laplace transform for marginal distribution for large values of the argument shows a way to define novel mixed time-series models which marginals we call asymptotic Beta. The new model’s innovation sequences distributions are obtained using Laplace transform approximation techniques. Finally, the case of generalized functional Beta B_2(G) distribution’s use is discussed as a new parent distribution. The chapter ends with an exhaustive references list.

mixed AR time series ; Beta distribution ; Erdelyi theorem ; Laplace transform asymptotic

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