On an Ar(1) Time Series Model with Marginal Two Parameter Wright Inverse–Gamma Distribution
In the article, we consider the AR(1) time series model when X t has two parameter inverse–gamma distribution IG2(a, b), a ∈ (0, 1/2], b > 0. It will be shown that Laplace transform of two parameter inverse gamma distribution is Krätzel function. Using suitable approximation procedure Laplace transform of IG2(a, b) will be approximated when transformation argument is large. It will be shown that innovation process has continuous distribution. Finally, model's parameters have been estimated.