search query: @author Lewis, P. A. W. / total: 5
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| Author: | Dewald, L. S. Lewis, P. A. W. McKenzie, E. |
| Title: | A bivariate first-order autoregressive time series model in exponential variables - 1. |
| Journal: | Management Science
1989 : OCT, VOL. 35:10, p. 1236-1246 |
| Index terms: | TIME SERIES |
| Language: | eng |
| Abstract: | A simple time series model for bivariate exponential variables having first-order autoregressive structure is presented, called the BEAR model. The linear random coefficient difference equation model is an adaptation of the New Exponential Autoregressive model. The process is Markovian in the bivariate sense and has correlation structure analogous to that of the Gaussian AR bivariate time series model. The model exhibits a full range of positive correlations and cross-correlations. The marginal processes are shown to have correlation structure of ARMA models. |
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