| Authors |
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| Publication date |
06-2020
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| Journal |
Journal of Applied Probability
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| Volume | Issue number |
57 | 2
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| Pages (from-to) |
657-678
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| Organisations |
-
Faculty of Science (FNWI) - Korteweg-de Vries Institute for Mathematics (KdVI)
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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.
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| Document type |
Article
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| Language |
English
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| Published at |
https://doi.org/10.1017/jpr.2020.6
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| Other links |
https://www.scopus.com/pages/publications/85089338822
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