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.

引用

页码：1219 / 1224

页数：6

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