A new uniform Ar(1) time series model (nuar(1))
Miroslav M. Ristić, Biljana Č. Popović (2000)
Publications de l'Institut Mathématique
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Displaying similar documents to “Dependent random variables with a given marginal distribution”
A new uniform Ar(1) time series model (nuar(1))
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A linear moving average model with random coefficients (RCMA) is proposed as more general alternative to usual linear MA models. The basic properties of this model are obtained. Although some model properties are similar to linear case the RCMA model class is too general to find general invertibility conditions. The invertibility of some special examples of RCMA(1) model are investigated in this paper.
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We present a probabilistic model of the microscopic scenario of dielectric relaxation. We prove a limit theorem for random sums of a special type that appear in the model. By means of the theorem, we show that the presented approach to relaxation phenomena leads to the well known Havriliak-Negami empirical dielectric response provided the physical quantities in the relaxation scheme have heavy-tailed distributions. The mathematical model, presented here in the context of dielectric relaxation,...
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Olapade, A.K. (2004)
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