Extended constructions of stationary autoregressive processes

DOI10.1016/J.SPL.2005.12.020MaRDI QIDQ2494877zbMATH OpenOpenAlexFDO

Authors Michael K. Pitt, Stephen G. Walker

Publication date 30 June 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.12.020

zbMATH Keywords

general processesGibbs samplerstationary process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Constructing First Order Stationary Autoregressive Models via Latent Processes
• Constructing Stationary Time Series Models Using Auxiliary Variables With Applications
• scientific article; zbMATH DE number 472921 (Why is no real title available?)
• scientific article; zbMATH DE number 846906 (Why is no real title available?)
• Markov chains for exploring posterior distributions. (With discussion)
• Stationary Time Series Models with Exponential Dispersion Model Margins
• Time series models with univariate margins in the convolution-closed infinitely divisible class

Cited in

(8)

• Gibbs and autoregressive Markov processes
• Adaptive Metropolis-Hastings sampling using reversible dependent mixture proposals
• scientific article; zbMATH DE number 5504540 (Why is no real title available?)
• scientific article; zbMATH DE number 3984398 (Why is no real title available?)
• On Construction and Simulation of Autoregressive Sources With Near-Laplace Marginals
• A mixture autoregressive model based on Student’s t–distribution
• Gibbs sampling, exponential families and orthogonal polynomials
• A class of autoregressive processes

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