A Note on the Innovation Distribution of a Gamma Distributed Autoregressive Process

Author: Walker, S. G.

Source: Scandinavian Journal of Statistics, Volume 27, Number 3, September 2000 , pp. 575-576(2)

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Abstract:

A representation of the innovation random variable for a gamma distributed first-order autoregressive process was found by Lawrance (1982) in the form of a compound Poisson distribution, connected with a shot-noise process. In this note we simplify the representation of Lawrance by providing a direct representation in terms of density functions.

Keywords: autoregressive process; gamma distribution

Document Type: Original article

DOI: http://dx.doi.org/10.1111/1467-9469.00208

Affiliations: 1: Imperial College, London

Publication date: 2000-09-01