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

S. G. Walker

Scandinavian Journal of Statistics, 2000, vol. 27, issue 3, 575-576

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.

Date: 2000
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