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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

R. P. Littlejohn*
Affiliation:
AgResearch
*
Postal address: AgResearch, Invermay Agricultural Centre, Private Bag, Mosgiel, New Zealand.

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.

Type
Short Communications
Copyright
Copyright © Applied Probability Trust 1994 

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References

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