30 citations · 55 across the 16 of their papers we have counts for
18 papers
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…
GARTFIMA Process and its Empirical Spectral Density Based Estimation
Niharika Bhootna, Arun Kumar
In this article, we introduce a Gegenbauer autoregressive tempered fractionally integrated moving average (GARTFIMA) process. We work on the spectral density and autocovariance fun…
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…
Densities of Inverse Tempered Stable Subordinators and Related Processes With Mellin Transforrm
Neha Gupta, Arun Kumar
In this article, the infinite series form of the probability densities of tempered stable and inverse tempered stable subordinators are obtained using Mellin transform. Further, th…
Tempered Stable Autoregressive Models
Niharika Bhootna, Arun Kumar
In this article, we introduce and study a one sided tempered stable first order autoregressive model called TAR(1). Under the assumption of stationarity of the model, the marginal…
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…