Simulation of weibull and gamma autoregressive stationary process
- 1 January 1986
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Simulation and Computation
- Vol. 15 (4) , 1141-1146
- https://doi.org/10.1080/03610918608812565
Abstract
This paper presents two simple non-Gaussian first-order autoregressive markovian processes which are easy to simulate via a computer. The autoregressive Gamma process {Xn:} is constructed according to the stochastic difference equation Xn:=Vn:Xn−1+∊n:, where {∊n:} is an i.i.d. Exponential sequence and {Vn:} is i.i.d. with Power-function distribution defined on the interval [0,1). The autoregressive Weibull process {Xn:} is constructed from the probabilistic model Xn:= k.min (Xn−1:, Yn:) where {Yn:} is an i.i.d. Weibull sequence and k > 1.Keywords
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