First order autoregressive time series with negative binomial and geometric marginals |
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| Authors: | Mohamed A Al-Osh Emad-Eldin AA Aly |
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| Institution: | 1. Department of Statistics , King Saud University , P.O Box 2455, Riyadh, Saudi Arabia;2. Department of Statistics &3. Applied Probability , The University of Alberta Edmonton , Edmonton, Alberta, T6G 2G1, Canada |
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| Abstract: | 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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| Keywords: | Negative binomial processes generalized geometric AR(1)processes binomial compounding |
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