Bounds for the probability distribution function of the linear ACD process

Marcelo Fernandes

No 488, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

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.

Date: 2003-07-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
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Related works:
Journal Article: Bounds for the probability distribution function of the linear ACD process (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgewp:488

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