Article ID: | iaor1990776 |
Country: | Israel |
Volume: | 26 |
Issue: | 3 |
Start Page Number: | 1 |
End Page Number: | 7 |
Publication Date: | Sep 1989 |
Journal: | Journal of Applied Probability |
Authors: | Arnold Barry C., Robertson C.A. |
A stochastic model is presented which yields a stationary Markov process whose invariant distribution is logistic. The model is autoregressive in character and is closely related to the autoregressive Pareto processes introduced earlier by Yeh et al. The model may be constructed to have absolutely continuous joint distributions. Analogous higher-order autoregressive and moving average processes may be constructed.