General dependence structures for some models based on exponential families with quadratic variance functions

DOI10.1007/S11749-021-00798-4MaRDI QIDQ2084716zbMATH OpenOpenAlexWikidataFDO

Authors Luis E. Nieto-Barajas, E. Gutiérrez-Peña

Publication date 13 October 2022

Published in Test (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.01218

zbMATH Keywords

latent variableexponential familystationary processmoving average processautoregressive processconjugate family

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We describe a procedure to introduce general dependence structures on a set of random variables. These include order-$q$ moving average-type structures, as well as seasonal, periodic, spatial and spatio-temporal dependences. The invariant marginal distribution can be in any family that is conjugate to an exponential family with quadratic variance function. Dependence is induced via a set of suitable latent variables whose conditional distribution mirrors the sampling distribution in a Bayesian conjugate analysis of such exponential families. We obtain strict stationarity as a special case.

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Cited in

(1)

• Exponential mixtures and quadratic exponential families

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• rjags
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