Product autoregressive models for non-negative variables

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=Xt−1αVt, 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.

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Year of publication:	2012
Authors:	Abraham, B. ; Balakrishna, N.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 8, p. 1530-1537
Publisher:	Elsevier
Subject:	Accept–reject algorithm \| Conditional least squares \| Ergodic sequences \| Gamma distribution \| Product models

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011040124