Vol. 4 No. 2 (2020): Vol 4, Iss 2, Year 2020
A study on some stochastic models in time series
Published December 28, 2020
- Characteristic function, Stochastic models, Markovian, Laplace transformation, Bernoulli random variable.
How to Cite
P, G., & M, S. (2020). A study on some stochastic models in time series. Journal of Computational Mathematica, 4(2), 62 - 67. https://doi.org/10.26524/cm81
A first order autoregressive model is introduced which is an extension of the EAR(1) process of Gaver and Lewis (1980) if the marginals are exponentially distributed. Discrete version of the model is introduced and studied. Some applications of the models are also mentioned.
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