Name
Abstract | ||
|---|---|---|
We introduce two general classes of reflected autoregressive processes, INGAR(+)and GAR(+). Here, INGAR(+)can be seen as the counterpart of INAR(1) with general thinning and reflection being imposed to keep the process non-negative; GAR(+)relates to AR(1) in an analogous manner. The two processes INGAR(+)and GAR(+)are shown to be connected via a duality relation. We proceed by presenting a detailed analysis of the time-dependent and stationary behavior of the INGAR(+)process, and then exploit the duality relation to obtain the time-dependent and stationary behavior of the GAR(+)process. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1017/jpr.2020.6 | JOURNAL OF APPLIED PROBABILITY |
Keywords | DocType | Volume |
INAR(1),AR(1),autoregressive processes,reflection,generating functions,time-dependent behavior,stationarity | Journal | 57 |
Issue | ISSN | Citations |
2 | 0021-9002 | 2 |
PageRank | References | Authors |
0.40 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Boxma Onno | 1 | 110 | 14.47 |
| Andreas Löpker | 2 | 6 | 1.98 |
| Michel Mandjes | 3 | 534 | 73.65 |