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


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.