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Product autoregression: a time-series characterization of the gamma distribution
Ed Mckenzie
Journal:

Journal of Applied Probability / Volume 19 / Issue 2 / June 1982

Published online by Cambridge University Press:

14 July 2016, pp. 463-468

Print publication:

June 1982
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A non-linear stationary stochastic process {Xt} is derived and shown to have the property that both the processes {Xt} and {log Xt} have the same correlation structure, viz. the Markov or first-order autoregressive correlation structure. The generation of such processes is discussed briefly and a characterization of the gamma distribution is obtained.

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Product autoregression: a time-series characterization of the gamma distribution