Bounds for the probability distribution function of the linear ACD process

Marcelo Fernandes

Statistics & Probability Letters, 2004, vol. 68, issue 2, 169-176

Abstract: This paper derives both lower and upper bounds for the probability distribution function of stationary ACD(p,q) processes. For the purpose of illustration, I specialize the results to the main parent distributions in duration analysis. Simulations show that the lower bound is much tighter than the upper bound.

Keywords: Autoregressive; conditional; duration; model; Distribution; lower; bound; Financial; duration; analysis; Nonlinear; models (search for similar items in EconPapers)
Date: 2004
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Working Paper: Bounds for the probability distribution function of the linear ACD process (2003)
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