The browser you are using is not supported by this website. All versions of Internet Explorer are no longer supported, either by us or Microsoft (read more here: https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Please use a modern browser to fully experience our website, such as the newest versions of Edge, Chrome, Firefox or Safari etc.

Random self-decomposability and autoregressive processes

På svenska

Author

Summary, in English

We introduce the notion of random self-decomposability and discuss its relation to the concepts of self-decomposability and geometric infinite divisibility. We present its connection with time series autoregressive schemes with a regression coefficient that randomly turns on and off. In particular, we provide a characterization of random self-decomposability as well as that of marginal distributions of stationary time series that follow this scheme. Our results settle an open question related to the existence of such processes. (C) 2010 Elsevier B.V. All rights reserved.

Publishing year

2010

Language

English

Pages

1606-1611

Publication/Series

Statistics and Probability Letters

Volume

80

Issue

21-22

Document type

Journal article

Publisher

Elsevier

Topic

  • Probability Theory and Statistics

Keywords

  • Linnik distribution
  • distribution
  • Laplace
  • Geometric infinite divisibility
  • Geometric stable law
  • Non-Gaussian time series

Status

Published

ISBN/ISSN/Other

  • ISSN: 0167-7152