A Generalization of Stationary AR(1) Schemes
Probability
2007-05-23 v4 Statistics Theory
Statistics Theory
Abstract
Here we develop a first order autoregressive model {Xn} that is marginally stationary where Xn is the sum/ extreme of k i.i.d observations. We prove that stationary solutions to these models are either semi-selfdecomposable/ extreme-semi-selfdecomposable or, sum/ extreme stable with respect to Harris distribution.
Cite
@article{arxiv.math/0507535,
title = {A Generalization of Stationary AR(1) Schemes},
author = {S Satheesh and E Sandhya and S Sherly},
journal= {arXiv preprint arXiv:math/0507535},
year = {2007}
}
Comments
13 pages, corrections made including typos, added journal reference, PDF format