Inverse exponential decay: Stochastic fixed point equation and ARMA models
نویسندگان
چکیده
منابع مشابه
A stochastic fixed point equation for weighted minima and maxima
Given any finite or countable collection of real numbers Tj , j ∈ J , we find all solutions F to the stochastic fixed point equation W d = inf j∈J TjWj , where W and the Wj , j ∈ J , are independent real-valued random variables with distribution F and d = means equality in distribution. The bulk of the necessary analysis is spent on the case when |J | ≥ 2 and all Tj are (strictly) positive. Non...
متن کاملNon-exponential Stability and Decay Rates in Nonlinear Stochastic Difference Equation with Unbounded Noises
We consider stochastic difference equation xn+1 = xn ( 1− hf(xn) + √ hg(xn)ξn+1 ) , n = 0, 1, . . . , x0 ∈ R, where functions f and g are nonlinear and bounded, random variables ξi are independent and h > 0 is a nonrandom parameter. We establish results on asymptotic stability and instability of the trivial solution xn ≡ 0. We also show, that for some natural choices of the nonlinearities f and...
متن کاملOn Parameter Estimation for Exponential Dispersion Arma Models
A class of autoregressive moving-average (ARMA) models proposed by J rgensen and Song [Journal of Applied Probability (1998), vol. 35, pp. 78–92] with exponential dispersion model margins are useful to deal with non-normal stationary time series with high-order autocorrelation. One property associated with the class of models is that the projection process takes the exact form of the classical ...
متن کاملEstimation of AR and ARMA models by stochastic complexity
Abstract: In this paper the stochastic complexity criterion is applied to estimation of the order in AR and ARMA models. The power of the criterion for short strings is illustrated by simulations. It requires an integral of the square root of Fisher information, which is done by Monte Carlo technique. The stochastic complexity, which is the negative logarithm of the Normalized Maximum Likelihoo...
متن کاملTheoretical Analysis of Inverse Generalized Exponential Models
This article presents the theoretical analysis of Inverse Generalized Exponential Models. The shapes of the properties of the Inverse Generalized Exponential distribution are discussed. Inverse moments of Inverse Generalized Exponential distribution are derived. In this article we have presented the relationship between shape parameter and other properties such probability distribution, distrib...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bernoulli
سال: 2019
ISSN: 1350-7265
DOI: 10.3150/19-bej1116