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Inverse Gaussian Autoregressive Models
Author(s) -
Abraham B.,
Balakrish.
Publication year - 1999
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00161
Subject(s) - autoregressive model , mathematics , inverse gaussian distribution , estimator , inverse , gaussian , star model , gaussian process , generalized inverse gaussian distribution , statistics , econometrics , autoregressive integrated moving average , mathematical analysis , gaussian random field , time series , distribution (mathematics) , geometry , physics , quantum mechanics
A first‐order autoregressive process with one‐dimensional inverse Gaussian marginals is introduced. The innovation distributions are obtained in certain special cases. The unknown parameters are estimated using different methods and these estimators are shown to be consistent and asymptotically normal. Performance of the estimators is discussed using simulation experiments.