Naslov
On mixed AR(1) time series model with approximated beta marginal

Autori
Popović, Božidar ; Poganj, Tibor ; Nadarajah, Saralees

Izvornik
Statistics & probability letters (0167-7152) 80 (2010), 19/20; 1551-1558

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Mixed AR(1) model; Power law distribution; Two parameter beta distribution; Kumaraswamy distribution; Kummer function of the first kind; Wright function

Sažetak
We consider the mixed AR(1) time series model $X_t$, when $X_t$ has the two-parameter beta distribution $B_2(p, q), p\in (0, 1], q>1$. Special attention is given to the case $p=1$ when the marginal distribution is approximated by the power law distribution closely connected with the two parameter Kumaraswamy distribution . Using the Laplace transform technique, we prove that for $p=1$ the distribution of the innovation process is uniform discrete. For $p\in (0, 1)$, the innovation process has a continuous distri-bution. We also consider estimation issues of the model.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Tehnologija prometa i transport

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