On the construction of stationary AR(1) models via random distributions

DOI10.1080/02331880802259391MaRDI QIDQ3396484zbMATH OpenOpenAlexFDO

Authors Ramsés H. Mena, A. Contreras-Cristán, Stephen G. Walker

Publication date 18 September 2009

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331880802259391

Mathematics Subject Classification ID

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

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Cites work

• A Bayesian analysis of some nonparametric problems
• A Bayesian Non‐parametric Approach to Survival Analysis Using Polya Trees
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Bayesian Nonparametric Inference for Random Distributions and Related Functions
• Beta-stacy processes and a generalization of the Pólya-Urn scheme
• Binomial autoregressive moving average models
• Constructing First Order Stationary Autoregressive Models via Latent Processes
• Discrete analogues of self-decomposability and stability
• First order autoregressive time series with negative binomial and geometric marginals
• Polya trees and random distributions
• Prior distributions on spaces of probability measures
• Spectrum estimation by wavelet thresholding of multitaper estimators
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• The Logistic Normal Distribution for Bayesian, Nonparametric, Predictive Densities
• Time series models with univariate margins in the convolution-closed infinitely divisible class

Cited in

(9)

• On a flexible construction of a negative binomial model
• Extended constructions of stationary autoregressive processes
• scientific article; zbMATH DE number 437490 (Why is no real title available?)
• scientific article; zbMATH DE number 5504540 (Why is no real title available?)
• scientific article; zbMATH DE number 1327254 (Why is no real title available?)
• Multivariate normal mean-variance mixture distribution based on Birnbaum-Saunders distribution
• Poisson-Driven Stationary Markov Models
• On the construction of stationary processes and random fields
• Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility

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