Related papers: An Autoregressive Model with Semi-stable Marginals
In this note we identify the class of distributions for {Xn} that can generate a linear, additive, first order auto-regressive scheme that is marginally stationary as semi-selfdecomposable laws. We give a method to construct these…
The structure of stationary first order max-autoregressive schemes with max-semi-stable marginals is studied. A connection between semi-selfsimilar extremal processes and this max-autoregressive scheme is discussed resulting in their…
Methods of construction of Max-semi-selfdecompsable laws are given. Implications of this method in random time changed extremal processes are discussed. Max-autoregressive model is introduced and characterized using the…
We discuss semi-selfdecomposable laws in the minimum scheme and characterize them using an autoregressive model. Semi-Pareto and semi-Weibull laws of Pillai (1991) are shown to be semi-selfdecomposable in this scheme. Methods for deriving…
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/…
We construct an autoregressive model with random coefficients that has a stationary distribution after proper normalization. This limit distribution is found to be stable.
In this note we correct an omission in our paper (Satheesh and Sandhya, 2005) in defining semi-selfdecomposable laws and also show with examples that the marginal distributions of a stationary AR(1) process need not even be infinitely…
We summarize the relations among three classes of laws: infinitely divisible, selfdecomposable and stable. First we look at them as the solutions of the Central Limit Problem; then their role is scrutinized in relation to the Levy and the…
Dilative semistability extends the notion of semi-selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. It is shown that this scaling relation is a natural extension…
We consider stationary autoregressive processes with coefficients restricted to an ellipsoid, which includes autoregressive processes with absolutely summable coefficients. We provide consistency results under different norms for the…
A new version of the partial autocorrelation plot and a new family of subset autoregressive models are introduced. A comprehensive approach to model identification, estimation and diagnostic checking is developed for these models. These…
In this paper, we investigate in a unified way the structural properties of solutions to inverse problems. These solutions are regularized by the generic class of semi-norms defined as a decomposable norm composed with a linear operator,…
In this article, we introduce and study a one sided tempered stable first order autoregressive model called TAR(1). Under the assumption of stationarity of the model, the marginal probability density function of the error term is found. It…
In this paper we propose a semiparametric spatial autoregressive model that combines a linear covariate component with a nonparametrically estimated spatial term, allowing flexible dependence modeling without restrictive covariance…
This work explores and develops elements of Stein's method of approximation, in the infinitely divisible setting, and its connections to functional analysis. It is mainly concerned with multivariate self-decomposable laws without finite…
We consider a family of multivariate autoregressive stochastic sequences that restart when hit a neighbourhood of the origin, and study their distributional limits when the autoregressive coefficient tends to one, the noise scaling…
Extension of two known facts concerning subordination is made. The first fact is that, in subordination of 1-dimensional Brownian motion with drift, selfdecomposability is inherited from subordinator to subordinated. This is extended to…
Many applications involve partial differential equations which admits nontrivial steady state solutions. The design of schemes which are able to describe correctly these equilibrium states may be challenging for numerical methods, in…
In this paper, the problem of partial stabilization of nonlinear systems along a given trajectory is considered. This problem is treated within the framework of stability of a family of sets. Sufficient conditions for the asymptotic…
In recent work, M. Just and the second author defined a class of "semi-modular forms" on $\mathbb C$, in analogy with classical modular forms, that are "half modular" in a particular sense; and constructed families of such functions as…