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A reversibility relationship for two Markovian time series models with stationary geometric tailed distribution

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  • Littlejohn, R. P.

Abstract

The discrete autoregressive and minification stationary time series models discussed by Little-john (1992a) are generalized to model marginal distributions which have perturbations at the origin. The reversibility theorem relating these processes with geometric marginal distribution is extended to the case where the marginal distribution has geometric tail.

Suggested Citation

  • Littlejohn, R. P., 1996. "A reversibility relationship for two Markovian time series models with stationary geometric tailed distribution," Stochastic Processes and their Applications, Elsevier, vol. 64(1), pages 127-133, November.
  • Handle: RePEc:eee:spapps:v:64:y:1996:i:1:p:127-133
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    Cited by:

    1. Wagner Barreto-Souza & Sokol Ndreca & Rodrigo B. Silva & Roger W. C. Silva, 2023. "Non-linear INAR(1) processes under an alternative geometric thinning operator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(2), pages 695-725, June.

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