A mixed stationary autoregressive model with exponential marginals

Božidar V. Popović (), Miroslav M. Ristić () and Narayana Balakrishna ()
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Božidar V. Popović: University of Montenegro
Miroslav M. Ristić: University of Niš
Narayana Balakrishna: Cochin University of Science and Technology

Statistical Papers, 2017, vol. 58, issue 4, No 8, 1125-1148

Abstract: Abstract This paper introduces a new model to generate a stationary Markov sequence of exponential random variables, which is a mixture of the first order exponential autoregressive model and a first order minification model. Apart from studying the probabilistic properties of the model we have also proposed methods for estimating the parameters to check its suitability in analyzing the practical situations. The applications of the model are illustrated using simulation and data analysis.

Keywords: Minification processes; Mixture models; Exponential marginal distribution; Autoregressive processes; Conditional least squares estimation; 62M10; 62P12; 62M20 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00362-016-0741-3

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