Communication in Statistics- Theory and Methods · 1992 · 157 citations · 16 references
Natural SciencesMathematicsProbability TheoryStochastic ProcessesTime Series AnalysisAutocorrelation AnalysisTime Series EconometricsTime Series ModelingAutoregressive ModelsAutoregressive ProcessesAutoregressive Time Series ModelsContinuous Joint DistributionsDiscrete Joint DistributionsNegative Binomial DistributionNegative Binomial ModelsNegative Binomial Regression
In this paper we present first order autoregressive (AR(1)) time series with negative binomial and geometric marginals. These processes are the discrete analogues of the gamma and exponential processes introduced by Sim (1990). Many properties of the processes discussed here, such as autocorrelation, regression and joint distributions, are studied.
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