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A Non-Gaussian Model for Time Series With Pulses.
- Source :
-
Journal of the American Statistical Association . Jun89, Vol. 84 Issue 406, p354. 6p. - Publication Year :
- 1989
-
Abstract
- A non-Gaussian autoregressive-like model is presented for time series that exhibit occasional large increases in value, termed pulses, and exponential decay between pulses. The model differs from a first-order autoregressive process in its incorporation of feedback between the distribution of the current innovation and the history of the process. Likelihood-based methods of inference for the model are developed, and an application to endocrinological data is given. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01621459
- Volume :
- 84
- Issue :
- 406
- Database :
- Academic Search Index
- Journal :
- Journal of the American Statistical Association
- Publication Type :
- Academic Journal
- Accession number :
- 4622052
- Full Text :
- https://doi.org/10.1080/01621459.1989.10478779