On two classes of reflected autoregressive processes
Keyword(s):
AbstractWe introduce two general classes of reflected autoregressive processes, INGAR+ and GAR+. Here, INGAR+ can be seen as the counterpart of INAR(1) with general thinning and reflection being imposed to keep the process non-negative; GAR+ relates to AR(1) in an analogous manner. The two processes INGAR+ and GAR+ are shown to be connected via a duality relation. We proceed by presenting a detailed analysis of the time-dependent and stationary behavior of the INGAR+ process, and then exploit the duality relation to obtain the time-dependent and stationary behavior of the GAR+ process.
1982 ◽
Vol 3
(3)
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pp. 209-217
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2021 ◽
Vol 8
(1)
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pp. 111-122
Keyword(s):
1985 ◽
Vol 6
(2)
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pp. 117-133
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Keyword(s):
2009 ◽
Vol 19
(3)
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pp. 97-102
Keyword(s):
1996 ◽
Vol 22
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pp. 114-115
1976 ◽
Vol 37
(C5)
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pp. C5-213-C5-221
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