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Extended constructions of stationary autoregressive processes
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Pitt, Michael K. and Walker, Stephen G. (2006) Extended constructions of stationary autoregressive processes. Statistics & Probability Letters, Volume 76 (Number 12). pp. 1219-1224. doi:10.1016/j.spl.2005.12.020 ISSN 0167-7152.
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Official URL: http://dx.doi.org/10.1016/j.spl.2005.12.020
Abstract
This paper extends recent ideas for constructing classes of stationary autoregressive processes of order 1. A Gibbs sampler representation of such processes is extended in a straightforward way to introduce new processes. These maintain a linear expectation property which provides a simple exponential form for the autocorrelation function. (C) 2005 Elsevier B.V. All rights reserved.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | Q Science > QA Mathematics | ||||
| Divisions: | Faculty of Social Sciences > Economics | ||||
| Journal or Publication Title: | Statistics & Probability Letters | ||||
| Publisher: | Elsevier Science BV | ||||
| ISSN: | 0167-7152 | ||||
| Official Date: | 1 July 2006 | ||||
| Dates: |
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| Volume: | Volume 76 | ||||
| Number: | Number 12 | ||||
| Number of Pages: | 6 | ||||
| Page Range: | pp. 1219-1224 | ||||
| DOI: | 10.1016/j.spl.2005.12.020 | ||||
| Status: | Not Peer Reviewed | ||||
| Publication Status: | Published |
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