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Pregled bibliografske jedinice broj: 508437

New mixed AR(1) time series models having approximated beta marginals

Popović, Božidar; Poganj, Tibor
New mixed AR(1) time series models having approximated beta marginals // Mathematical and computer modelling, 54 (2011), 1/2; 584-597 doi:10.1016/j.mcm.2011.03.002 (međunarodna recenzija, članak, znanstveni)

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Naslov
New mixed AR(1) time series models having approximated beta marginals

Autori
Popović, Božidar ; Poganj, Tibor

Izvornik
Mathematical and computer modelling (0895-7177) 54 (2011), 1/2; 584-597

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

Ključne riječi
beta distribution; approximated beta marginal; Kummer function of the first kind; first order autoregressive model beta distribution; approximated beta marginal; Kummer function of the first kind; first order autoregressive model

Sažetak
We consider the mixed AR(1) time series model X_t$, where $X_t$ has twoparameter beta distribution. For parameters $q≥(3π/4)^4$ or $p=5, q≥(9π/10)^5$ it is possible to calculate exact PDF which approximates beta distribution using analytical inversion of the Laplace transform. Using Laplace transform techniques and a suitable approximation procedure for the auxiliary Kummer function of the first kind, we prove that the innovation process has a mixed continuous distribution. We also consider estimation issues of the model.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Tehnologija prometa i transport



POVEZANOST RADA

Projekti:
112-1121722-3314 - Informacijsko-komunikacijske tehnologije u inteligentnim pomorskim sustavima (Tomas, Vinko, MZOS ) ( CroRIS)

Ustanove:
Pomorski fakultet, Rijeka

Profili:

Avatar Url Tibor Poganj (autor)

Poveznice na cjeloviti tekst rada:

doi http http dx.doi.org

Citiraj ovu publikaciju:

Popović, Božidar; Poganj, Tibor
New mixed AR(1) time series models having approximated beta marginals // Mathematical and computer modelling, 54 (2011), 1/2; 584-597 doi:10.1016/j.mcm.2011.03.002 (međunarodna recenzija, članak, znanstveni)
Popović, B. & Poganj, T. (2011) New mixed AR(1) time series models having approximated beta marginals. Mathematical and computer modelling, 54 (1/2), 584-597 doi:10.1016/j.mcm.2011.03.002.
@article{article, author = {Popovi\'{c}, Bo\v{z}idar and Poganj, Tibor}, year = {2011}, pages = {584-597}, DOI = {10.1016/j.mcm.2011.03.002}, keywords = {beta distribution, approximated beta marginal, Kummer function of the first kind, first order autoregressive model beta distribution, approximated beta marginal, Kummer function of the first kind, first order autoregressive model}, journal = {Mathematical and computer modelling}, doi = {10.1016/j.mcm.2011.03.002}, volume = {54}, number = {1/2}, issn = {0895-7177}, title = {New mixed AR(1) time series models having approximated beta marginals}, keyword = {beta distribution, approximated beta marginal, Kummer function of the first kind, first order autoregressive model beta distribution, approximated beta marginal, Kummer function of the first kind, first order autoregressive model} }
@article{article, author = {Popovi\'{c}, Bo\v{z}idar and Poganj, Tibor}, year = {2011}, pages = {584-597}, DOI = {10.1016/j.mcm.2011.03.002}, keywords = {beta distribution, approximated beta marginal, Kummer function of the first kind, first order autoregressive model beta distribution, approximated beta marginal, Kummer function of the first kind, first order autoregressive model}, journal = {Mathematical and computer modelling}, doi = {10.1016/j.mcm.2011.03.002}, volume = {54}, number = {1/2}, issn = {0895-7177}, title = {New mixed AR(1) time series models having approximated beta marginals}, keyword = {beta distribution, approximated beta marginal, Kummer function of the first kind, first order autoregressive model beta distribution, approximated beta marginal, Kummer function of the first kind, first order autoregressive model} }

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus

Uključenost u ostale bibliografske baze podataka::


  • MathSciNet
  • Zentrallblatt für Mathematik/Mathematical Abstracts
  • Referativnij Zhurnal Matematika

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