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The first-order autoregressive Mittag–Leffler process

Part of: Stochastic processes Inference from stochastic processes Distribution theory - Probability

Published online by Cambridge University Press:  14 July 2016

K. Jayakumar  and
R. N. Pillai
K. Jayakumar
Affiliation:
University of Kerala
R. N. Pillai*
Affiliation:
University of Kerala
*
∗Postal address for both authors: Department of Statistics, University of Kerala, Kariavattom (P.O.), Trivandrum — 695 581, India.
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Abstract

The first-order autoregressive semi-Mittag-Leffler (SMLAR(1)) process is introduced and its properties are studied. As an illustration, we discuss the special case of the first-order autoregressive Mittag-Leffler (MLAR(1)) process.

Keywords

EAR(1) PROCESSSEMI-MITTAG-LEFFLER DISTRIBUTION

MSC classification

Primary: 60G99: None of the above, but in this section
Secondary: 62M10: Time series, auto-correlation, regression, etc. 60E05: Distributions
Type
Short Communications
Information
Journal of Applied Probability , Volume 30 , Issue 2 , June 1993 , pp. 462 - 466
Copyright
Copyright © Applied Probability Trust 1993 

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References

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