Specialised class L property and stationary autoregressive process

R. N. Pillai and K. Jayakumar

Statistics & Probability Letters, 1994, vol. 19, issue 1, 51-56

Abstract: The class L property arises as a consequence of the stationarity of an autoregressive process of order one with innovation. The innovation distribution of the pth order autoregressive Mittag--Leffler (MLAR(p)) process is derived. This gives rise to a specialised class L property. It is shown that the pth order autoregressive (AR(p)) process with innovation is stationary if and only if the marginals are distributed as Mittag--Leffler distributions, a family of distributions containing the exponential distribution.

Keywords: Autoregressive; process; class; L; Mittag--Leffler; distributions (search for similar items in EconPapers)
Date: 1994
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