A Note on the Innovation Distribution of a Gamma Distributed Autoregressive Process |
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| Authors: | S G Walker |
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| Institution: | Imperial College, London |
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| Abstract: | A representation of the innovation random variable for a gamma distributed first-order autoregressive process was found by Lawrance (1982) in the form of a compound Poisson distribution, connected with a shot-noise process. In this note we simplify the representation of Lawrance by providing a direct representation in terms of density functions. |
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| Keywords: | autoregressive process gamma distribution |
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