IDEAS home Printed from https://ideas.repec.org/a/bla/scjsta/v27y2000i3p575-576.html
   My bibliography  Save this article

A Note on the Innovation Distribution of a Gamma Distributed Autoregressive Process

Author

Listed:
  • S. G. Walker

Abstract

A representation of the innovation random variable for a gamma distributed first‐order autoregressive process was found by Lawrance (1982) in the form of a compound Poisson distribution, connected with a shot‐noise process. In this note we simplify the representation of Lawrance by providing a direct representation in terms of density functions.

Suggested Citation

  • S. G. Walker, 2000. "A Note on the Innovation Distribution of a Gamma Distributed Autoregressive Process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(3), pages 575-576, September.
    • Handle: RePEc:bla:scjsta:v:27:y:2000:i:3:p:575-576
    DOI: 10.1111/1467-9469.00208
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9469.00208
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9469.00208?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Luis Nieto-Barajas & Eduardo Gutiérrez-Peña, 2022. "General dependence structures for some models based on exponential families with quadratic variance functions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 699-716, September.
    2. Paola Bortot & Carlo Gaetan, 2014. "A Latent Process Model for Temporal Extremes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(3), pages 606-621, September.
    3. Paola Bortot & Carlo Gaetan, 2016. "Latent Process Modelling of Threshold Exceedances in Hourly Rainfall Series," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 21(3), pages 531-547, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:scjsta:v:27:y:2000:i:3:p:575-576. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0303-6898 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.