3 citations · 3 across the 4 of their papers we have counts for
5 papers
Estimation and Autoregressive Modeling of Mittag-Leffler Distributions with Application in Finance
Monika S. Dhull
This work deals with the estimation of parameters of Mittag-Leffler (ML()) distribution. We estimate the parameters of ML() using empirical Laplace transform method. Th…
Geometric Infinitely Divisible Autoregressive Models
Monika Singh Dhull, Arun Kumar
In this article, we discuss some geometric infinitely divisible (gid) random variables using the Laplace exponents which are Bernstein functions and study their properties. The dis…
Humbert Generalized Fractional Differenced ARMA Processes
Niharika Bhootna, Monika Singh Dhull, Arun Kumar +1
In this article, we use the generating functions of the Humbert polynomials to define two types of Humbert generalized fractional differenced ARMA processes. We present stationarit…
The expectation-maximization algorithm for autoregressive models with normal inverse Gaussian innovations
Monika S. Dhull, Arun Kumar, Agnieszka Wylomanska
The autoregressive (AR) models are used to represent the time-varying random process in which output depends linearly on previous terms and a stochastic term (the innovation). In t…
Normal Inverse Gaussian Autoregressive Model Using EM Algorithm
Monika Singh Dhull, Arun Kumar
In this article, normal inverse Gaussian (NIG) autoregressive model is introduced. The parameters of the model are estimated using Expectation Maximization (EM) algorithm. The effi…