Multivariate geometric autoregressive and autoregressive moving average models
2021 ◽
Vol 12
(2)
◽
pp. 12-18
Keyword(s):
We present Autoregressive (AR) and autoregressive moving average (ARMA) processes with multivariate geometric (MG) distribution. The theory of positive dependence is used to show that in many cases, multivariate geometric autoregressive (MGAR) and multivariate autoregressive moving average (MGARMA) models consist of associated random variables. We also provide a special case of the multivariate geometric autoregressive model in which it is stationary and has multivariate geometric distribution.
1992 ◽
Vol 13
(1)
◽
pp. 1-18
◽
2021 ◽
Vol 8
(1)
◽
pp. 15-22