Journal of the Korean Statistical Society

  • 제26권4호
  • /
  • Pages.521-530
  • /
  • 1997
  • /
  • 1226-3192(pISSN)
  • /
  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

Existence Condition for the Stationary Ergodic New Laplace Autoregressive Model of order p-NLAR(p)

  • Kim, Won-Kyung (Department of Mathematics Education, Korea National University of Education, Chongwon, Chungbuk 363-791) ;
  • Lynne Billard (University of Georgia, Department of Statistics, Athens, Georgia 30602, USA)
  • 발행 : 1997.12.01
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초록

The new Laplace autoregressive model of order 2-NLAR92) studied by Dewald and Lewis (1985) is extended to the p-th order model-NLAR(p). A necessary and sufficient condition for the existence of an innovation sequence and a stationary ergodic NLAR(p) model is obtained. It is shown that the distribution of the innovation sequence is given by the probabilistic mixture of independent Laplace distributions and a degenrate distribution.

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참고문헌

  1. Journal of Time Series Analysis v.9 no.4 On the existence of the stationary and ergodic NEAR(p) model Chan, Kungsik
  2. IEEE Transactions on Information Theory v.IT-31 no.5 A new Laplace second-order autoregressive time series model -NLAR(2) Dewald, L.S.;Lewis, P.A.W.
  3. Advanced Applied Probability v.13 A new autoregressive time series model in exponential variables NEAR(1) Lawrance, A.J.;Lewis, P.A.W.
  4. Journal of Royal Statistical Society, Ser. B v.47 no.2 Modelling and residual analysis of non-linear autoregressive time series in exponential variables (with discussions) Lawrance, A.J.;Lewis, P.A.W.
  5. Lecture notes in statistics Random coefficient Autoregressive Models : An Intriduction Nicholles, D.F.;Quinn, B.F.