Popović, Božidar; Nadarajah, Saralees; Ristić, Miroslav - In: Metrika 76 (2013) 1, pp. 71-92
We consider the mixed AR(1) time series model <Equation ID="Equa"> <EquationSource Format="TEX">$$X_t=\left\{\begin{array}{ll}\alpha X_{t-1}+ \xi_t \quad {\rm w.p.} \qquad \frac{\alpha^p}{\alpha^p-\beta ^p},\\ \beta X_{t-1} + \xi_{t} \quad {\rm w.p.} \quad -\frac{\beta^p}{\alpha^p-\beta ^p} \end{array}\right.$$</EquationSource> </Equation>for −1 β <Superscript> p </Superscript> ≤ 0 ≤ α <Superscript>...</superscript></superscript></equationsource></equation>