Accession Number : ADA140848

Title :   An Autoregressive Process for Beta Random Variables.

Descriptive Note : Technical rept.,

Corporate Author : NAVAL POSTGRADUATE SCHOOL MONTEREY CA

Personal Author(s) : McKenzie,E

PDF Url : ADA140848

Report Date : Dec 1983

Pagination or Media Count : 32

Abstract : Two stationary first-order autoregressive processes with Beta marginal distributions are presented. They are both linear, additive processes but the coefficients are Beta random variables. Their autocorrelation functions are investigated: one is positive and the other alternates in sign. The usefulness of the models in simulation is discussed. The Bivariate Beta distributions of two consecutive observations are considered in some detail. Several examples are given, including a Bivariate Uniform process which is also examined in detail. The relationship of these Bivariate Beta distributions to the Dirichelet distribution is discussed. (Author)

Descriptors :   *Distribution functions, *Linear regression analysis, *Markov processes, *Random variables, Autocorrelation, Functions(Mathematics), Coefficients, Bivariate analysis, Stationary, Dirichlet integral, Mathematical models, Charts

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE