Inverse Gaussian Autoregressive Models

B. Abraham and N. Balakrishna

Journal of Time Series Analysis, 1999, vol. 20, issue 6, 605-618

Abstract: A first‐order autoregressive process with one‐dimensional inverse Gaussian marginals is introduced. The innovation distributions are obtained in certain special cases. The unknown parameters are estimated using different methods and these estimators are shown to be consistent and asymptotically normal. Performance of the estimators is discussed using simulation experiments.

Date: 1999
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