Jasiak, Joann; Gourieroux, Christian - In: Journal of Forecasting 25 (2006) 2, pp. 129-152
We introduce a class of autoregressive gamma processes with conditional distributions from the family of noncentred gamma (up to a scale factor). The paper provides the stationarity and ergodicity conditions for ARG processes of any autoregressive order <TOGGLE>p</TOGGLE>, including long memory, and closed-form...</toggle>