Name
Abstract | ||
|---|---|---|
We consider the mixed AR(1) time series model X"t={@aX"t"-"1+@x"tw.p. p"1@bX"t"-"1+@x"tw.p. 1-p"1,@a,@b,p"1@?(0,1), where X"t has twoparameter beta distribution B"2(p,q),p,q0. For parameters p=1,q0;p=2,q@p^2(2k+1)^2,k@?N"0;p=3,q=(43@p/6)^3;p=4, q=(3@p/4)^4 or p=5,q=(9@p/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. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1016/j.mcm.2011.03.002 | Mathematical and Computer Modelling |
Keywords | Field | DocType |
mixed ar,new mixed ar,exact pdf,estimation issue,approximated beta marginals,analytical inversion,twoparameter beta distribution b,mixed continuous distribution,beta distribution,parameters p,auxiliary kummer function,time series model x,autoregressive model,innovation process,first order,time series model,laplace transform | Autoregressive model,Combinatorics,Laplace transform,Mathematical analysis,Beta (finance),Innovation process,Distribution function,Mathematics,Calculus,Beta distribution | Journal |
Volume | Issue | ISSN |
54 | 1-2 | Mathematical and Computer Modelling |
Citations | PageRank | References |
0 | 0.34 | 1 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Boidar V. Popović | 1 | 0 | 0.34 |
| Tibor Pogány | 2 | 32 | 13.73 |