Random products and product auto-regression | Zendy

Hassan S. Bakouch | Zendy; Miroslav M. Ristić | Zendy; E. Sandhya | Zendy; S. Satheesh | Zendy

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Random products and product auto-regression

Author(s) -

Hassan S. Bakouch,

Miroslav M. Ristić,

E. Sandhya,

S. Satheesh

Publication year - 2013

Publication title -

filomat

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.449

H-Index - 34

eISSN - 2406-0933

pISSN - 0354-5180

DOI - 10.2298/fil1307197b

Subject(s) - mathematics , autocorrelation , moving average model , series (stratigraphy) , stability (learning theory) , product (mathematics) , autoregressive model , conditional expectation , random variable , infinite divisibility , function (biology) , probability density function , statistics , conditional probability distribution , statistical physics , time series , autoregressive integrated moving average , computer science , paleontology , physics , geometry , machine learning , evolutionary biology , biology

The operation of taking random products of random variables and the notions of infinite divisibility (ID) and stability of distributions under this operation are discussed here. Based on this stationary product auto-regressive time series models are introduced. We investigate some properties of the models, like autocorrelation function, spectral density function, multi-step ahead conditional mean and parameter estimation.

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