Journal of Applied Probability · 1989 · 33 citations · 1 references
EngineeringMathematicsProbability TheoryStochastic ModelingStochastic ProcessesContinuous-time Stochastic ProcessesMarkov ChainsMarkov ProcessesStationary ProcessesAutoregressive ModelsAutoregressive ProcessesContinuous Joint DistributionsHigher-order Markov ModelsMoving Average ProcessesStationary Autoregressive ProcessesStationary Moving Average ProcessesStationary Random Processes
A stochastic model is presented which yields a stationary Markov process whose invariant distribution is logistic. The model is autoregressive in character and is closely related to the autoregressive Pareto processes introduced earlier by Yeh et al. (1988). The model may be constructed to have absolutely continuous joint distributions. Analogous higher-order autoregressive and moving average processes may be constructed.
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