Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152198 | Statistics & Probability Letters | 2012 | 8 Pages |
Abstract
When variables in time series context are non-negative, such as for volatility, survival time or wave heights, a multiplicative autoregressive model of the type Xt=Xt−1αVt, 0≤α<1,t=1,2,… may give the preferred dependent structure. In this paper, we study the properties of such models and propose methods for parameter estimation. Explicit solutions of the model are obtained in the case of gamma marginal distribution.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
B. Abraham, N. Balakrishna,