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Construction of stationary time series via the Gibbs sampler with application to volatility models
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Pitt, Michael K. and Walker, S. G. (Stephen G.) (2001) Construction of stationary time series via the Gibbs sampler with application to volatility models. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.595).
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
Abstract
In this paper, we provide a method for modelling stationary time series. We allow the family of marginal densities for the observations to be specified. Our approach is to construct the model with a specified marginal family and build the dependence structure around it. We show that the resulting time series is linear with a simple autocorrelation structure. In particular, we present an original application of the Gibbs sampler. We illustrate our approach by fitting a model to time series count data with a marginal Poisson-gamma density.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
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Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Markov processes, Monte Carlo method, Probabilities, Stochastic processes | ||||
Series Name: | Warwick economic research papers | ||||
Publisher: | University of Warwick, Department of Economics | ||||
Place of Publication: | Coventry | ||||
Official Date: | 2001 | ||||
Dates: |
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Number: | No.595 | ||||
Number of Pages: | 31 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) |
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