Extended constructions of stationary autoregressive processes

被引：3
|
作者：
Pitt, Michael K.
Walker, Stephen G. [1 ]
机构：
[1] Univ Kent, Inst Math Stat & Actuarial Sci, Canterbury CT2 7NF, Kent, England
[2] Univ Warwick, Dept Econ, Coventry CV4 7AL, W Midlands, England
来源：
STATISTICS & PROBABILITY LETTERS | 2006年 / 76卷 / 12期
关键词：
stationary process; Gibbs sampler;
D O I：
10.1016/j.spl.2005.12.020
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
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页码：1219 / 1224
页数：6
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