On two classes of reflected autoregressive processes
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| Publication date | 06-2020 |
| Journal | Journal of Applied Probability |
| Volume | Issue number | 57 | 2 |
| Pages (from-to) | 657-678 |
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| Abstract | We introduce two general classes of reflected autoregressive processes, INGAR+ and GAR+. Here, INGAR+ can be seen as the counterpart of INAR(1) with general thinning and reflection being imposed to keep the process non-negative; GAR+ relates to AR(1) in an analogous manner. The two processes INGAR+ and GAR+ are shown to be connected via a duality relation. We proceed by presenting a detailed analysis of the time-dependent and stationary behavior of the INGAR+ process, and then exploit the duality relation to obtain the time-dependent and stationary behavior of the GAR+ process. |
| Document type | Article |
| Language | English |
| Published at |
https://doi.org/10.1017/jpr.2020.6
(Final published version)
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