Article ID Journal Published Year Pages File Type
1153758 Statistics & Probability Letters 2010 6 Pages PDF
Abstract
We introduce the notion of random self-decomposability and discuss its relation to the concepts of self-decomposability and geometric infinite divisibility. We present its connection with time series autoregressive schemes with a regression coefficient that randomly turns on and off. In particular, we provide a characterization of random self-decomposability as well as that of marginal distributions of stationary time series that follow this scheme. Our results settle an open question related to the existence of such processes.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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