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On expontential autoregressive time series models. (English) Zbl 1030.62073
The author presents a new form of time series models with exponential marginal distributions (the so-called NAREX models). For some values of model parameters many well-known models, such as standard AR(1), EAR(1), NEAR(1), AREX(1), can be obtained from NAREX models as special cases The distribution of the innovation sequences and the autoregressive structure of NAREX processes are discussed as well.
MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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