On Exponential Autoregressive Time Series Models

Jovan D. Mališić
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Jovan D. Mališić: University of Belgrade, Faculty of Sciences, Institute of Mathematics

A chapter in Mathematical Statistics and Probability Theory, 1987, pp 147-153 from Springer

Abstract: Abstract Some new time series models (so-called AREX(n) models) for exponential variables having n-th — order autoregressive structure are presented. They are analogs of the standard AR(n) model and of the EAR(n), NEAR(n) and TEAR(n) models, introduced a few years ago by Lawrance, Lewis, Gaver and the others. Some of their models can be obtained from AREX models as special cases. The distribution of the innovation sequence (a probability mixture) and autoregressive structure of AREX processes are discussed as well.

Keywords: Positive-valued time series; autoregressive model; stationary; exponential marginal distribution; AREX model; probability mixture. (search for similar items in EconPapers)
Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-009-3965-3_14

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DOI: 10.1007/978-94-009-3965-3_14

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