Exponential-Gaussian Distribution and Associated Time Series Models
Exponential-Gaussian distribution has already appeared in the literature and it is widely used in many fields. In this paper, we study its application in time series through a model-based approach. An autoregressive process of order one with exponential-Gaussian distribution as marginals is introdu...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Instituto Nacional de Estatística | Statistics Portugal
2023-11-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/435 |
| _version_ | 1797632951627808768 |
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| author | Nitha K.U Krishnarani S.D. |
| author_facet | Nitha K.U Krishnarani S.D. |
| author_sort | Nitha K.U |
| collection | DOAJ |
| description |
Exponential-Gaussian distribution has already appeared in the literature and it is widely used in many fields. In this paper, we study its application in time series through a model-based approach. An autoregressive process of order one with exponential-Gaussian distribution as marginals is introduced. Structural aspects of the innovation sequence is derived and analytical properties of the process are studied. Estimation of the parameters is done and the application is established through an illustration with real data.
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| first_indexed | 2024-03-11T11:44:02Z |
| format | Article |
| id | doaj.art-d20ea5cb586541039514b123801f9599 |
| institution | Directory Open Access Journal |
| issn | 1645-6726 2183-0371 |
| language | English |
| last_indexed | 2024-03-11T11:44:02Z |
| publishDate | 2023-11-01 |
| publisher | Instituto Nacional de Estatística | Statistics Portugal |
| record_format | Article |
| series | Revstat Statistical Journal |
| spelling | doaj.art-d20ea5cb586541039514b123801f95992023-11-09T17:01:01ZengInstituto Nacional de Estatística | Statistics PortugalRevstat Statistical Journal1645-67262183-03712023-11-01214Exponential-Gaussian Distribution and Associated Time Series ModelsNitha K.U0Krishnarani S.D.1Farook CollegeFarook College Exponential-Gaussian distribution has already appeared in the literature and it is widely used in many fields. In this paper, we study its application in time series through a model-based approach. An autoregressive process of order one with exponential-Gaussian distribution as marginals is introduced. Structural aspects of the innovation sequence is derived and analytical properties of the process are studied. Estimation of the parameters is done and the application is established through an illustration with real data. https://revstat.ine.pt/index.php/REVSTAT/article/view/435exponential distributionGaussian distributionautoregressive processstationarityconvolution models |
| spellingShingle | Nitha K.U Krishnarani S.D. Exponential-Gaussian Distribution and Associated Time Series Models Revstat Statistical Journal exponential distribution Gaussian distribution autoregressive process stationarity convolution models |
| title | Exponential-Gaussian Distribution and Associated Time Series Models |
| title_full | Exponential-Gaussian Distribution and Associated Time Series Models |
| title_fullStr | Exponential-Gaussian Distribution and Associated Time Series Models |
| title_full_unstemmed | Exponential-Gaussian Distribution and Associated Time Series Models |
| title_short | Exponential-Gaussian Distribution and Associated Time Series Models |
| title_sort | exponential gaussian distribution and associated time series models |
| topic | exponential distribution Gaussian distribution autoregressive process stationarity convolution models |
| url | https://revstat.ine.pt/index.php/REVSTAT/article/view/435 |
| work_keys_str_mv | AT nithaku exponentialgaussiandistributionandassociatedtimeseriesmodels AT krishnaranisd exponentialgaussiandistributionandassociatedtimeseriesmodels |