Abstract
The class L property arises as a consequence of the stationarity of an autoregressive process of order one with innovation. The innovation distribution of the pth order autoregressive Mittag—Leffler (MLAR( p)) process is derived. This gives rise to a specialised class L property. It is shown that the pth order autoregressive (AR( p)) process with innovation is stationary if and only if the marginals are distributed as Mittag—Leffler distributions, a family of distributions containing the exponential distribution.
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