Modelling non-normal first-order autoreg
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C. H. Sim
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Article
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1994
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John Wiley and Sons
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English
โ 684 KB
We shall first review some non-normal stationary first-order autoregressive models. The models are constructed with a given marginal distribution (logistic, hyperbolic secant, exponential, Laplace, or gamma) and the requirement that the bivariate joint distribution of the generated process must be s