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First-order autoregressive logistic processes

Part of: Inference from stochastic processes Stochastic processes Probabilistic methods, simulation and stochastic differential equations

Published online by Cambridge University Press:  14 July 2016

C. H. Sim
C. H. Sim*
Affiliation:
University of Malaya
*
∗ Postal address: Department of Mathematics, Faculty of Science, University of Malaya, 59 100 Kuala Lumpur, Malaysia.
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Abstract

We propose an AR(1) model that can be used to generate logistic processes. The proposed model has simple probability and correlation structure that can accommodate the full range of attainable correlation. The correlation structure and the joint distribution of the proposed model are given, as well as their conditional mean and variance.

Keywords

BIVARIATE LOGISTIC DISTRIBUTIONSIMULATIONSTOCHASTIC MODEL

MSC classification

Primary: 62M10: Time series, auto-correlation, regression, etc.
Secondary: 65C20: Models, numerical methods 60G10: Stationary processes
Type
Short Communications
Information
Journal of Applied Probability , Volume 30 , Issue 2 , June 1993 , pp. 467 - 470
Copyright
Copyright © Applied Probability Trust 1993 

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References

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Rao, P. S. and Johnson, D. H. (1988) A first-order AR model for non-Gaussian time series. Proc. IEEE Int. Conf. on ASSP. 3, 1534–1537.Google Scholar