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Autoregressive logistic processes. (English) Zbl 0687.60068
Summary: A stochastic model is presented which yields a stationary Markov process whose invariant distribution is logistic. The model is autoregressive in character and is closely related to the autoregressive Pareto processes introduced earlier by H.-C. Yeh and the present authors [J. Appl. Probab. 25, No. 2, 291–301 (1988; Zbl 0658.62101)]. The model may be constructed to have absolutely continuous joint distributions. Analogous higher-order autoregressive and moving average processes may be constructed.

MSC:
60J20 Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
60G10 Stationary stochastic processes
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