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A reversibility relationship for two Markovian time series models by stationary exponential tailed distribution
Published online by Cambridge University Press: 14 July 2016
Abstract
The continuous autoregressive and minification stationary non-negative time series models discussed by Chernick et al. (1988) are generalized to model marginal distributions which have atoms of mass at zero. The reversibility theorem relating these processes with exponential marginal distributions is extended to the case where the marginal distribution has exponential tail.
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- Copyright © Applied Probability Trust 1994
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