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A multivariate semi-logistic autoregressive process and its characterization

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  • Yeh, Hsiaw-Chan

Abstract

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.

Suggested Citation

  • Yeh, Hsiaw-Chan, 2011. "A multivariate semi-logistic autoregressive process and its characterization," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1370-1379, September.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:9:p:1370-1379
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    References listed on IDEAS

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    1. Arnold, Barry C. & Hallett, J. Terry, 1989. "A characterization of the pareto process among stationary stochastic processes of the form Xn = c min(Xn-1, Yn)," Statistics & Probability Letters, Elsevier, vol. 8(4), pages 377-380, September.
    2. Yeh, Hsiaw-Chan, 2010. "Multivariate semi-logistic distributions," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 893-908, April.
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