Gibbs and autoregressive Markov processes

DOI10.1016/J.SPL.2007.02.015MaRDI QIDQ2467382zbMATH OpenOpenAlexFDO

Authors Luis E. Nieto-Barajas, Stephen G. Walker

Publication date 21 January 2008

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

Full work available at URL https://doi.org/10.1016/j.spl.2007.02.015

zbMATH Keywords

beta distributionGibbs samplergamma distributionDirichlet processLévi process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Discrete-time Markov processes on general state spaces (60J05)

Recommendations

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• scientific article; zbMATH DE number 549940

Cites work

• scientific article; zbMATH DE number 2148834 (Why is no real title available?)
• A Bayesian analysis of some nonparametric problems
• A Bayesian nonparametric approach to reliability
• Bayesian nonparametrics
• Convergence of stochastic processes
• Markov Beta and Gamma Processes for Modelling Hazard Rates
• Nonparametric Bayes estimators based on beta processes in models for life history data
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).

Cited in

(8)

• scientific article; zbMATH DE number 1405915 (Why is no real title available?)
• The Gibbs principle for Markov jump processes
• Markov processes in survival analysis
• scientific article; zbMATH DE number 3883339 (Why is no real title available?)
• scientific article; zbMATH DE number 1396578 (Why is no real title available?)
• Extended constructions of stationary autoregressive processes
• Characterizations, stochastic equations, and the Gibbs sampler
• Some gamma processes based on the dirichlet-gamma transformation

Describes a project that uses

Uses Software

• BGPhazard

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