A Beta-Gamma autoregressive process of the second-order (BGAR(2))

Miroslav M. Ristic

Statistics & Probability Letters, 2005, vol. 73, issue 4, 403-410

Abstract: In this paper we present a stationary Beta-Gamma autoregressive process of the second-order which represents the generalization of the Beta-Gamma autoregressive process of the first-order [Lewis, McKenzie, Hugus, 1989. Comm. Statist. Stochastic Models 5, 1-30]. The defined process has Gamma(k,[beta]) marginally distributions. The properties of the process are discussed. The conditional least-squares estimation and the method of moments are used. Asymptotic distributions of the estimates are given and the asymptotic confidence regions are obtained. Some numerical results of the estimations are given.

Keywords: Beta-Gamma; transformation; Gamma; distribution; Estimation; Conditional; least-squares; Random; coefficient; representation (search for similar items in EconPapers)
Date: 2005
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(05)00144-6
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:73:y:2005:i:4:p:403-410

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().