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An Autoregressive Model with Semi-stable Marginals

Research paper by S Satheesh, E Sandhya

Indexed on: 04 Feb '07Published on: 04 Feb '07Published in: Mathematics - Probability



Abstract

The family of semi-stable laws is shown to be semi-selfdecomposable. Thus they qualify to model stationary first order autoregressive schemes. A connection between these autoregressive schemes with semi-stable marginals and semi-selfsimilar processes is given.