A Generalization to Bivariate Mittag-Leffler and Bivariate Discrete Mittag-Leffler Autoregressive Processes

作者：Jayakumar K^*; Ristic Miroslav M; Mundassery Davis Antony

来源：Communications in Statistics - Theory and Methods, 2010, 39(6): 942-955.

DOI：10.1080/03610920902809024

• Autoregressive process
• Bivariate discrete Mittag-Leffler distribution
• Bivariate Mittag-Leffler distribution
• Bivariate semi Mittag-Leffler distribution
• Estimation
• Moran's bivariate exponential distribution

A generalization of the Gaver and Lewis (1980) model of first-order autoregressive process with marginals as bivariate Mittag-Leffler distribution is obtained. A necessary and sufficient condition for stationarity of the process is established. Autoregressive process with marginals follow bivariate discrete Mittag-Leffler distribution is also developed. The unknown parameters of the processes are estimated and some numerical results of the estimations are given.

• 出版日期2010