Parameter estimation for first-order bifurcating autoregressive processes with Weibull innovations

被引：1
|
作者：
Zhang, Chenhua [1 ]
机构：
[1] Univ So Mississippi, Dept Math, Hattiesburg, MS 39406 USA
来源：
STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 12期
关键词：
Bifurcating autoregressive processes; Regular variation; Point process; Tail index; Hill's estimator; MODEL;
D O I：
10.1016/j.spl.2011.08.014
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study the first-order bifurcating autoregressive process X-t = phi X-left perpendiculart/2right perpendicular + is an element of(t) with Weibull innovations. Using point process technique, we estimate the model parameter phi and the tail index alpha, in the Weibull distribution and obtain the joint limit distribution of estimators. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：1961 / 1969
页数：9
相关论文
共 50 条
  • [41] A new mixed first-order integer-valued autoregressive process with Poisson innovations
    Daniel L. R. Orozco
    Lucas O. F. Sales
    Luz M. Z. Fernández
    André L. S. Pinho
    AStA Advances in Statistical Analysis, 2021, 105 : 559 - 580
  • [42] A new mixed first-order integer-valued autoregressive process with Poisson innovations
    Orozco, Daniel L. R.
    Sales, Lucas O. F.
    Fernandez, Luz M. Z.
    Pinho, Andre L. S.
    ASTA-ADVANCES IN STATISTICAL ANALYSIS, 2021, 105 (04) : 559 - 580
  • [43] ESTIMATION FOR 1ST-ORDER AUTOREGRESSIVE PROCESSES WITH POSITIVE OR BOUNDED INNOVATIONS
    DAVIS, RA
    MCCORMICK, WP
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1989, 31 (02) : 237 - 250
  • [44] First-order planar autoregressive model
    Shklyar, Sergiy
    MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2025, 12 (01): : 83 - 121
  • [45] First-order realizations of autoregressive equations
    Vafiadis, D
    Karcanias, N
    INTERNATIONAL JOURNAL OF CONTROL, 1999, 72 (12) : 1043 - 1053
  • [46] Parameters estimation for asymmetric bifurcating autoregressive processes with missing data
    de Saporta, Benoite
    Gegout-Petit, Anne
    ELECTRONIC JOURNAL OF STATISTICS, 2011, 5 : 1313 - 1353
  • [47] A characterization of the innovations of first order autoregressive models
    D. Moriña
    P. Puig
    J. Valero
    Metrika, 2015, 78 : 219 - 225
  • [48] A characterization of the innovations of first order autoregressive models
    Morina, D.
    Puig, P.
    Valero, J.
    METRIKA, 2015, 78 (02) : 219 - 225
  • [49] Bivariate first-order random coefficient integer-valued autoregressive processes
    Yu, Meiju
    Wang, Dehui
    Yang, Kai
    Liu, Yan
    JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2020, 204 : 153 - 176
  • [50] First-order random coefficients integer-valued threshold autoregressive processes
    Li, Han
    Yang, Kai
    Zhao, Shishun
    Wang, Dehui
    ASTA-ADVANCES IN STATISTICAL ANALYSIS, 2018, 102 (03) : 305 - 331
12345