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A mixed stationary autoregressive model with exponential marginals

Author

Listed:
  • Božidar V. Popović

    (University of Montenegro)

  • Miroslav M. Ristić

    (University of Niš)

  • Narayana Balakrishna

    (Cochin University of Science and Technology)

Abstract

This paper introduces a new model to generate a stationary Markov sequence of exponential random variables, which is a mixture of the first order exponential autoregressive model and a first order minification model. Apart from studying the probabilistic properties of the model we have also proposed methods for estimating the parameters to check its suitability in analyzing the practical situations. The applications of the model are illustrated using simulation and data analysis.

Suggested Citation

  • Božidar V. Popović & Miroslav M. Ristić & Narayana Balakrishna, 2017. "A mixed stationary autoregressive model with exponential marginals," Statistical Papers, Springer, vol. 58(4), pages 1125-1148, December.
    • Handle: RePEc:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0741-3
    DOI: 10.1007/s00362-016-0741-3
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    References listed on IDEAS

    as
    1. Miroslav Ristić, 2008. "A generalized semi-Pareto minification process," Statistical Papers, Springer, vol. 49(2), pages 343-351, April.
    2. N. Balakrishna & Bovas Abraham & Ranjini Sivakumar, 2006. "Gamma stochastic volatility models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(3), pages 153-171.
    Full references (including those not matched with items on IDEAS)

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