Bounds for the probability distribution function of the linear ACD process
AbstractThis paper derives both lower and upper bounds for the probability distribution function of stationary ACD(p,q) processes. For the purpose of illustration, I specialize the results to the main parent distributions in duration analysis. Simulations show that the lower bound is much tighter than the upper bound.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 68 (2004)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Other versions of this item:
- Fernandes, Marcelo, 2003. "Bounds for the probability distribution function of the linear ACD process," Economics Working Papers (Ensaios Economicos da EPGE) 488, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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