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.
机构:
Univ Western Ontario, Dept Econ, Social Sci Ctr, London, ON N6A 5C2, CanadaUniv Western Ontario, Dept Econ, Social Sci Ctr, London, ON N6A 5C2, Canada
Grynkiv, Galyna
Stentoft, Lars
论文数: 0引用数: 0
h-index: 0
机构:
Univ Western Ontario, Dept Econ, Social Sci Ctr, London, ON N6A 5C2, Canada
Univ Western Ontario, Dept Stat & Actuarial Sci, Western Sci Ctr, London, ON N6A 5B7, CanadaUniv Western Ontario, Dept Econ, Social Sci Ctr, London, ON N6A 5C2, Canada
Stentoft, Lars
JOURNAL OF RISK AND FINANCIAL MANAGEMENT,
2018,
11
(03):