A Generalization of Stationary AR(1) Schemes

Details A Generalization of Stationary AR(1) Schemes A Generalization of Stationary AR(1) Schemes

2005-07-26

arxiv.org/abs/math/0507535v4

Statistical Methods, 2006, 8(2), 213-225

Mathematics

Probability

13 pages, corrections made including typos, added journal reference, PDF format

Scientific paper

Here we develop a first order autoregressive model {Xn} that is marginally
stationary where Xn is the sum/ extreme of k i.i.d observations. We prove that
stationary solutions to these models are either semi-selfdecomposable/
extreme-semi-selfdecomposable or, sum/ extreme stable with respect to Harris
distribution.

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