First order autoregressive time series with negative binomial and geometric marginals
- 1 January 1992
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 21 (9) , 2483-2492
- https://doi.org/10.1080/03610929208830925
Abstract
In this paper we present first order autoregressive (AR(1)) time series with negative binomial and geometric marginals. These processes are the discrete analogues of the gamma and exponential processes introduced by Sim (1990). Many properties of the processes discussed here, such as autocorrelation, regression and joint distributions, are studied.Keywords
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