Journal
STATISTICAL PAPERS
Volume 58, Issue 4, Pages 1125-1148Publisher
SPRINGER
DOI: 10.1007/s00362-016-0741-3
Keywords
Minification processes; Mixture models; Exponential marginal distribution; Autoregressive processes; Conditional least squares estimation
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This paper introduces a new model to generate a stationary Markov sequence of exponential random variables, which is a mixture of the first order exponential autoregressive model and a first order minification model. Apart from studying the probabilistic properties of the model we have also proposed methods for estimating the parameters to check its suitability in analyzing the practical situations. The applications of the model are illustrated using simulation and data analysis.
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