A multivariate semi-logistic autoregressive process and its characterization |
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| Authors: | Hsiaw-Chan Yeh |
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| Affiliation: | Department of Finance, College of Management, National Taiwan University, Rm. 1002, No.85, Roosevelt Road, Section 4, Taipei, 106, Taiwan, ROC |
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| Abstract: | An autoregressive multivariate stochastic model is constructed which yields a stationary Markov process with a marginal invariant distribution as a multivariate semi-logistic distribution. This model is denoted as an MSL-AR(1) process. Some properties of the MSL-AR(1) process are studied and its characterization is also derived. |
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| Keywords: | 60 E10 60 J05 62 E15 |
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