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First-order autoregressive logistic processes

Published online by Cambridge University Press:  14 July 2016

C. H. Sim*
Affiliation:
University of Malaya
*
Postal address: Department of Mathematics, Faculty of Science, University of Malaya, 59 100 Kuala Lumpur, Malaysia.

Abstract

We propose an AR(1) model that can be used to generate logistic processes. The proposed model has simple probability and correlation structure that can accommodate the full range of attainable correlation. The correlation structure and the joint distribution of the proposed model are given, as well as their conditional mean and variance.

Type
Short Communications
Copyright
Copyright © Applied Probability Trust 1993 

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References

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