A reversibility relationship for two Markovian time series models with stationary geometric tailed distribution

R. P. Littlejohn

Stochastic Processes and their Applications, 1996, vol. 64, issue 1, 127-133

Abstract: The discrete autoregressive and minification stationary time series models discussed by Little-john (1992a) are generalized to model marginal distributions which have perturbations at the origin. The reversibility theorem relating these processes with geometric marginal distribution is extended to the case where the marginal distribution has geometric tail.

Keywords: Discrete; autoregression; Geometric; tailed; distribution; Minification; process; Mutually; reversed; time; series (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (1)

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