Random self-decomposability and autoregressive processes
(2010) In Statistics and Probability Letters 80(21-22). p.1606-1611- Abstract
- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1695786
- author
- Kozubowski, Tomasz J. and Podgorski, Krzysztof LU
- organization
- publishing date
- 2010
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Linnik distribution, distribution, Laplace, Geometric infinite divisibility, Geometric stable law, Non-Gaussian time series
- in
- Statistics and Probability Letters
- volume
- 80
- issue
- 21-22
- pages
- 1606 - 1611
- publisher
- Elsevier
- external identifiers
-
- wos:000281991700005
- scopus:77955843199
- ISSN
- 0167-7152
- DOI
- 10.1016/j.spl.2010.06.014
- language
- English
- LU publication?
- yes
- id
- 1ffc757e-c730-489f-8af1-fead4da121d1 (old id 1695786)
- date added to LUP
- 2016-04-01 13:01:45
- date last changed
- 2022-01-27 08:57:03
@article{1ffc757e-c730-489f-8af1-fead4da121d1,
abstract = {{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.}},
author = {{Kozubowski, Tomasz J. and Podgorski, Krzysztof}},
issn = {{0167-7152}},
keywords = {{Linnik distribution; distribution; Laplace; Geometric infinite divisibility; Geometric stable law; Non-Gaussian time series}},
language = {{eng}},
number = {{21-22}},
pages = {{1606--1611}},
publisher = {{Elsevier}},
series = {{Statistics and Probability Letters}},
title = {{Random self-decomposability and autoregressive processes}},
url = {{http://dx.doi.org/10.1016/j.spl.2010.06.014}},
doi = {{10.1016/j.spl.2010.06.014}},
volume = {{80}},
year = {{2010}},
}