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

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