A multivariate semi-logistic autoregressive process and its characterization

作者：Yeh Hsiaw Chan^*

来源：Statistics & Probability Letters, 2011, 81(9): 1370-1379.

DOI：10.1016/j.spl.2011.03.039

• Multivariate semi-logistic distributions
• MSL(1)-AR(1)
• MSL(2)-AR(1) processes
• Maximization processes
• Characterization

An autoregressive multivariate stochastic model is constructed which yields a stationary Markov process with a marginal invariant distribution as a multivariate semi-logistic distribution. This model is denoted as an MSL-AR(1) process. Some properties of the MSL-AR(1) process are studied and its characterization is also derived.

• 出版日期2011-9