An Autoregressive Model with Semi-stable Marginals

Details An Autoregressive Model with Semi-stable Marginals An Autoregressive Model with Semi-stable Marginals

2006-02-14

arxiv.org/abs/math/0602286v2

ProbStat Models 6, January-2007, p.1-5

Mathematics

Probability

PDF File, 5 Pages, corrections incorporated and contents changed

Scientific paper

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.

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