An Autoregressive Process for Beta Random Variables.

Abstract

Two stationary first-order autoregressive processes with Beta marginal distributions are presented. They are both linear, additive processes but the coefficients are Beta random variables. Their autocorrelation functions are investigated: one is positive and the other alternates in sign. The usefulness of the models in simulation is discussed. The Bivariate Beta distributions of two consecutive observations are considered in some detail. Several examples are given, including a Bivariate Uniform process which is also examined in detail. The relationship of these Bivariate Beta distributions to the Dirichelet distribution is discussed. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1983
Accession Number
ADA140848

Entities

People

  • E. Mckenzie

Organizations

  • Naval Postgraduate School

Tags

DTIC Thesaurus Topics

  • Additives (Chemicals)
  • Coefficients
  • Data Science
  • Information Science
  • Integrals
  • Markov Processes
  • Mathematics
  • Operations Research
  • Probability
  • Probability Density Functions
  • Random Variables
  • Simulations
  • Stationary
  • Stationary Processes
  • Statistical Analysis
  • Statistics
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Statistical inference.