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.
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We are grateful to the Editor and anonymous referees for their comments that have improved this paper.
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Popović, B.V., Ristić, M.M. & Balakrishna, N. A mixed stationary autoregressive model with exponential marginals. Stat Papers 58, 1125–1148 (2017). https://doi.org/10.1007/s00362-016-0741-3
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DOI: https://doi.org/10.1007/s00362-016-0741-3
Keywords
- Minification processes
- Mixture models
- Exponential marginal distribution
- Autoregressive processes
- Conditional least squares estimation