Extended constructions of stationary autoregressive processes
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.
Year of publication: |
2006
|
---|---|
Authors: | Pitt, Michael K. ; Walker, Stephen G. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 12, p. 1219-1224
|
Publisher: |
Elsevier |
Subject: | Stationary process Gibbs sampler |
Saved in:
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