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A reversibility relationship for two Markovian time series models by stationary exponential tailed distribution

Part of: Markov processes Inference from stochastic processes

Published online by Cambridge University Press:  14 July 2016

R. P. Littlejohn
R. P. Littlejohn*
Affiliation:
AgResearch
*
∗ Postal address: AgResearch, Invermay Agricultural Centre, Private Bag, Mosgiel, New Zealand.
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Abstract

The continuous autoregressive and minification stationary non-negative time series models discussed by Chernick et al. (1988) are generalized to model marginal distributions which have atoms of mass at zero. The reversibility theorem relating these processes with exponential marginal distributions is extended to the case where the marginal distribution has exponential tail.

Keywords

EXPONENTIAL AUTOREGRESSIONMINIFICATION PROCESSNON-GAUSSIAN TIME SERIESMUTUALLY REVERSIBLE TIME SERIES

MSC classification

Primary: 60J05: Discrete-time Markov processes on general state spaces
Secondary: 62M10: Time series, auto-correlation, regression, etc.
Type
Short Communications
Information
Journal of Applied Probability , Volume 31 , Issue 2 , June 1994 , pp. 575 - 581
Copyright
Copyright © Applied Probability Trust 1994 

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References

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