Time series models associated with Mittag-Leffler type distributions and its properties
Article Type
Research Article
Publication Title
Communications in Statistics - Theory and Methods
Abstract
We have provided a fractional generalization of the Poisson renewal processes by replacing the first time derivative in the relaxation equation of the survival probability by a fractional derivative of order α(0 < α ⩽ 1). A generalized Laplacian model associated with the Mittag-Leffler distribution is examined. We also discuss some properties of this new model and its relevance to time series. Distribution of gliding sums, regression behaviors, and sample path properties are studied. Finally we introduce the q-Mittag-Leffler process associated with the q-Mittag-Leffler distribution.
First Page
7210
Last Page
7225
DOI
10.1080/03610926.2014.978946
Publication Date
12-16-2016
Recommended Citation
Sebastian, Nicy and Gorenflo, Rudolf, "Time series models associated with Mittag-Leffler type distributions and its properties" (2016). Journal Articles. 4495.
https://digitalcommons.isical.ac.in/journal-articles/4495