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On Exponential Autoregressive Time Series Models

In: Mathematical Statistics and Probability Theory

Author

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  • Jovan D. Mališić

    (University of Belgrade, Faculty of Sciences, Institute of Mathematics)

Abstract

Some new time series models (so-called AREX(n) models) for exponential variables having n-th — order autoregressive structure are presented. They are analogs of the standard AR(n) model and of the EAR(n), NEAR(n) and TEAR(n) models, introduced a few years ago by Lawrance, Lewis, Gaver and the others. Some of their models can be obtained from AREX models as special cases. The distribution of the innovation sequence (a probability mixture) and autoregressive structure of AREX processes are discussed as well.

Suggested Citation

  • Jovan D. Mališić, 1987. "On Exponential Autoregressive Time Series Models," Springer Books, in: P. Bauer & F. Konecny & W. Wertz (ed.), Mathematical Statistics and Probability Theory, pages 147-153, Springer.
    • Handle: RePEc:spr:sprchp:978-94-009-3965-3_14
    DOI: 10.1007/978-94-009-3965-3_14
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