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An Autoregressive Model with Semi-stable Marginals

S Satheesh·E Sandhya
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Abstract

The family of semi-stable laws is shown to be semi-selfdecomposable. Thus they qualify to model stationary first order autoregressive schemes. A connection between these autoregressive schemes with semi-stable marginals and semi-selfsimilar processes is given.

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S Satheesh, E Sandhya. 2007-02-04. An Autoregressive Model with Semi-stable Marginals. https://arxiv.org/abs/math/0602286

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