A study on some stochastic models in time series
- Characteristic function, Stochastic models, Markovian, Laplace transformation, Bernoulli random variable.
A first order autoregressive model is introduced which is an extension of the EAR(1) process of Gaver and Lewis (1980) if the marginals are exponentially distributed. Discrete version of the model is introduced and studied. Some applications of the models are also mentioned.