Product autoregression: a time-series characterization of the gamma distribution
- 1 June 1982
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 19 (2) , 463-468
- https://doi.org/10.2307/3213502
Abstract
A non-linear stationary stochastic process {Xt} is derived and shown to have the property that both the processes {Xt} and {logXt} have the same correlation structure, viz. the Markov or first-order autoregressive correlation structure. The generation of such processes is discussed briefly and a characterization of the gamma distribution is obtained.Keywords
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