An Autoregressive Process for Beta Random Variables

Ed McKenzie
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Ed McKenzie: Department of Mathematics, University of Strathclyde, Glasgow G1 1XH, Scotland and Department of Operations Research, Naval Postgraduate School, Monterey, California 93943

Management Science, 1985, vol. 31, issue 8, 988-997

Abstract: Two stationary first-order autoregressive processes with Beta marginal distributions are presented. They are both linear, additive processes but the coefficients are Beta random variables. Their autocorrelation functions are investigated: one is positive and the other alternates in sign. The usefulness of the models in simulation is discussed. The Bivariate Beta distributions of two consecutive observations are considered in some detail. Several examples are given, including a Bivariate Uniform process which is also examined in detail. The relationship of these Bivariate Beta distributions to the Dirichlet distribution is discussed.

Keywords: Beta autoregression; simulation; Bivariate Beta distribution; Bivariate uniform distribution (search for similar items in EconPapers)
Date: 1985
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