1ST ORDER AUTOREGRESSIVE TIME-SERIES WITH NEGATIVE BINOMIAL AND GEOMETRIC MARGINALS

被引：118

作者：

ALOSH, MA

ALY, EEAA

机构：

[1] KING SAUD UNIV,DEPT STAT,RIYADH,SAUDI ARABIA

[2] UNIV ALBERTA,DEPT STAT & APPL PROBABIL,EDMONTON T6G 2G1,ALBERTA,CANADA

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1992年 / 21卷 / 09期

基金：

加拿大自然科学与工程研究理事会;

关键词：

NEGATIVE BINOMIAL PROCESSES; GENERALIZED GEOMETRIC AR(1) PROCESSES; BINOMIAL COMPOUNDING;

D O I：

10.1080/03610929208830925

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we present first order autoregressive (AR(1)) time series with negative binomial and geometric marginals. These processes are the discrete analogues of the gamma and exponential processes introduced by Sim (1990). Many properties of the processes discussed here, such as autocorrelation, regression and joint distributions, are studied.

引用

页码：2483 / 2492

页数：10

共 14 条

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