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Random self-decomposability and autoregressive processes

In English

Författare

Summary, in English

We introduce the notion of random self-decomposability and discuss its relation to the concepts of self-decomposability and geometric infinite divisibility. We present its connection with time series autoregressive schemes with a regression coefficient that randomly turns on and off. In particular, we provide a characterization of random self-decomposability as well as that of marginal distributions of stationary time series that follow this scheme. Our results settle an open question related to the existence of such processes. (C) 2010 Elsevier B.V. All rights reserved.

Publiceringsår

2010

Språk

Engelska

Sidor

1606-1611

Publikation/Tidskrift/Serie

Statistics and Probability Letters

Volym

80

Issue

21-22

Dokumenttyp

Artikel i tidskrift

Förlag

Elsevier

Ämne

  • Probability Theory and Statistics

Nyckelord

  • Linnik distribution
  • distribution
  • Laplace
  • Geometric infinite divisibility
  • Geometric stable law
  • Non-Gaussian time series

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 0167-7152