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 distributionDirichlet processgamma distributionGibbs samplerLévi process

Mathematics Subject Classification ID

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

Review text

The authors compare Gibbs sampler processes to autoregressive Markov processes with the same marginals. E.g., for the beta distribution the Gibbs sampler is \(\pi_k\) with \[ \pi_k|u_{k-1}\sim \text{Beta}(a+u_{k-1},b+c-u_{k-1}), \;u_{k-1}|\pi_{k-1}\sim \text{Binomial}(c,\pi_{k-1}), \] and the Markov autoregressive process is \[ \pi_k=w_k\pi_{k-1}+(1-w_k)z_k, \] where \(w_k\sim \text{Beta}(a+b,c)\), \(z_k\sim \text{Beta}(y_k,c-y_k)\), \(y_k\sim \text{Binomial}(c, \text{Beta}(a,b))\). Analogous constructions are considered for gamma distributions and for distributions generated by a Dirichlet process. For gamma autoregressive processes convergence to a Lévy process is demonstrated.

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Cited in

(9)

• The Gibbs principle for Markov jump processes
• Extended constructions of stationary autoregressive processes
• Markov processes in survival analysis
• scientific article; zbMATH DE number 3883339 (Why is no real title available?)
• Some gamma processes based on the dirichlet-gamma transformation
• scientific article; zbMATH DE number 1396578 (Why is no real title available?)
• scientific article; zbMATH DE number 1405915 (Why is no real title available?)
• Characterizations, stochastic equations, and the Gibbs sampler
• Skew-elliptical spatial random effect modeling for areal data with application to mapping health utilization rates

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Uses Software

• BGPhazard

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