A new autoregressive time series model in exponential variables (NEAR(1))

Abstract

A new time series model for exponential variables having first-order autoregressive structure is presented. Unlike the recently studied standard autoregressive model in exponential variables (ear(1)), runs of constantly scaled values are avoidable, and the two parameter structure allows some adjustment of directional effects in sample path behaviour. The model is further developed by the use of cross-coupling and antithetic ideas to allow negative dependency. Joint distributions and autocorrelations are investigated. A transformed version of the model has a uniform marginal distribution and its correlation and regression structures are also obtained. Estimation aspects of the models are briefly considered.