New mixed AR(1) time series models having approximated beta marginals (CROSBI ID 170781)
Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Popović, Božidar ; Poganj, Tibor
engleski
New mixed AR(1) time series models having approximated beta marginals
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.
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
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
Podaci o izdanju
54 (1/2)
2011.
584-597
objavljeno
0895-7177
10.1016/j.mcm.2011.03.002
Povezanost rada
Tehnologija prometa i transport, Matematika