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. University of Warwick, Department of Economics, Coventry.

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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)
Subjects:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics
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
Date:	2001
Number:	No.595
Number of Pages:	31
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
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URI:	http://wrap.warwick.ac.uk/id/eprint/1586

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