Product autoregressive models for non-negative variables

B. Abraham and N. Balakrishna

Statistics & Probability Letters, 2012, vol. 82, issue 8, 1530-1537

Abstract: When variables in time series context are non-negative, such as for volatility, survival time or wave heights, a multiplicative autoregressive model of the type Xt=Xt−1αVt, 0≤α<1,t=1,2,… may give the preferred dependent structure. In this paper, we study the properties of such models and propose methods for parameter estimation. Explicit solutions of the model are obtained in the case of gamma marginal distribution.

Keywords: Accept–reject algorithm; Conditional least squares; Ergodic sequences; Gamma distribution; Product models (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.04.022

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