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Estimation of Parameters of RCA with Exponential Marginals
Publications de l'Institut Mathématique, _N_S_54 (1993) no. 68, p. 135
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The estimation of parameters of time series whose marginal distribution is exponential with parameter $\mu$, $\mu>0$ is somewhat more complicated than the estimation of parameters of Gaussian time series. One possible approach using the method of least squares is given. Namely, the method of least squares is applied in two steps for estimating the parameters of generalized first order autoregressive time series with exponential marginals. A special case of estimating parameters of the model FAREX (1) is also given.
Classification : 62F10 62F12 
@article{PIM_1993_N_S_54_68_a16,
     author = {Biljana \v{C}. Popovi\'c},
     title = {Estimation of {Parameters} of {RCA} with {Exponential} {Marginals}},
     journal = {Publications de l'Institut Math\'ematique},
     pages = {135 },
     year = {1993},
     volume = {_N_S_54},
     number = {68},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/PIM_1993_N_S_54_68_a16/}
}
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Biljana Č. Popović. Estimation of Parameters of RCA with Exponential Marginals. Publications de l'Institut Mathématique, _N_S_54 (1993) no. 68, p. 135 . http://geodesic.mathdoc.fr/item/PIM_1993_N_S_54_68_a16/