On mixed AR(1) time series model with approximated beta marginal

Bozidar V. Popovic, Tibor K. Pogány and Saralees Nadarajah

Statistics & Probability Letters, 2010, vol. 80, issue 19-20, 1551-1558

Abstract: We consider the mixed AR(1) time series model when Xt has the two parameter beta distribution , p[set membership, variant](0,1],q>1. Special attention is given to the case p=1 when the marginal distribution is approximated by the power law distribution closely connected with the two parameter Kumaraswamy distribution . Using the Laplace transform technique, we prove that for p=1 the distribution of the innovation process is uniform discrete. For p[set membership, variant](0,1), the innovation process has a continuous distribution. We also consider estimation issues of the model.

Keywords: Power; law; distribution; Two; parameter; beta; distribution; Kumaraswamy; distribution; Kummer; function; of; the; first; kind; Wright; function; First; order; autoregressive; model (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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