| dc.contributor.author |
Balakrishna, N |
|
| dc.contributor.author |
Abraham, B |
|
| dc.date.accessioned |
2014-09-23T09:24:35Z |
|
| dc.date.available |
2014-09-23T09:24:35Z |
|
| dc.date.issued |
2012-05-07 |
|
| dc.identifier.uri |
http://dyuthi.cusat.ac.in/purl/4725 |
|
| dc.description |
Statistics and Probability Letters 82 (2012) 1530–1537 |
en_US |
| dc.description.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 = Xα
t−1Vt ,
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 |
en_US |
| dc.description.sponsorship |
Cochin University of Science and Technology |
en_US |
| dc.language.iso |
en |
en_US |
| dc.publisher |
Elsevier |
en_US |
| dc.subject |
Accept–reject algorithm |
en_US |
| dc.subject |
Conditional least squares |
en_US |
| dc.subject |
Ergodic sequences |
en_US |
| dc.subject |
Gamma distribution |
en_US |
| dc.subject |
Product models |
en_US |
| dc.title |
Product autoregressive models for non-negative variables |
en_US |
| dc.type |
Article |
en_US |