Author:
Boxma Onno,Löpker Andreas,Mandjes Michel
Abstract
AbstractWe introduce two general classes of reflected autoregressive processes, INGAR+ and GAR+. Here, INGAR+ can be seen as the counterpart of INAR(1) with general thinning and reflection being imposed to keep the process non-negative; GAR+ relates to AR(1) in an analogous manner. The two processes INGAR+ and GAR+ are shown to be connected via a duality relation. We proceed by presenting a detailed analysis of the time-dependent and stationary behavior of the INGAR+ process, and then exploit the duality relation to obtain the time-dependent and stationary behavior of the GAR+ process.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
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