On simulation of multidimensional random sequences
Jiří Anděl (1994)
Acta Universitatis Carolinae. Mathematica et Physica
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Displaying similar documents to “AR(1) processes with given moments of marginal distribution”
On simulation of multidimensional random sequences
Stationary distribution of absolute autoregression
Jiří Anděl, Pavel Ranocha (2005)
Kybernetika
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A procedure for computation of stationary density of the absolute autoregression (AAR) model driven by white noise with symmetrical density is described. This method is used for deriving explicit formulas for stationary distribution and further characteristics of AAR models with given distribution of white noise. The cases of Gaussian, Cauchy, Laplace and discrete rectangular distribution are investigated in detail.
Time Series with Approximated Beta Marginal
Božidar V. Popović (2010)
Publications de l'Institut Mathématique
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Stationary distribution of some nonlinear processes
Jiří Anděl, María Gómez, Carlos Vega (1989)
Kybernetika
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