Pregled bibliografske jedinice broj: 887218
Mixed AR(1) time series models with marginals having approximated Beta distribution
Mixed AR(1) time series models with marginals having approximated Beta distribution // Advances in Time Series Analysis and Forecasting / Rojas, Ignacio ; Pomares, Hector ; Valenzuela, Olga (ur.).
New York (NY): Springer, 2017. str. 159-171
CROSBI ID: 887218 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Mixed AR(1) time series models with marginals having approximated Beta distribution
Autori
Poganj, Tibor
Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, znanstveni
Knjiga
Advances in Time Series Analysis and Forecasting
Urednik/ci
Rojas, Ignacio ; Pomares, Hector ; Valenzuela, Olga
Izdavač
Springer
Grad
New York (NY)
Godina
2017
Raspon stranica
159-171
ISBN
978-3-319-55788-5
Ključne riječi
mixed AR time series ; Beta distribution ; Erdelyi theorem ; Laplace transform asymptotic
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
