An Autoregressive Model with Semi-stable Marginals
Probability
2007-06-13 v2 Statistics Theory
Statistics Theory
Abstract
The family of semi-stable laws is shown to be semi-selfdecomposable. Thus they qualify to model stationary first order autoregressive schemes. A connection between these autoregressive schemes with semi-stable marginals and semi-selfsimilar processes is given.
Keywords
Cite
@article{arxiv.math/0602286,
title = {An Autoregressive Model with Semi-stable Marginals},
author = {S Satheesh and E Sandhya},
journal= {arXiv preprint arXiv:math/0602286},
year = {2007}
}
Comments
PDF File, 5 Pages, corrections incorporated and contents changed