Constructing First Order Stationary Autoregressive Models via Latent Processes

DOI10.1111/1467-9469.00311zbMATH Open1035.62086OpenAlexW2163605559MaRDI QIDQ4455925FDOQ4455925

Authors: Michael K. Pitt, Chris Chatfield, Stephen G. Walker 

Publication date: 16 March 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00311

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zbMATH Keywords

EM algorithmmaximum likelihood estimationMarkov processmarginal densityconvolution-closed exponential distribution class

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Stationary Time Series Models with Exponential Dispersion Model Margins

Cited In (26)

• Local bandwidth selection for kernel density estimation in a bifurcating Markov chain model
• Claims reserving: A correlated Bayesian model
• Moderate deviation principles for bifurcating Markov chains: case of functions dependent of one variable
• On the construction of stationary AR(1) models via random distributions
• On a Construction of Stationary Processes via Bilateral Matrix-Exponential Distributions
• Time-varying sparsity in dynamic regression models
• On a flexible construction of a negative binomial model
• On the stationary version of the generalized hyperbolic ARCH model
• Stationary mixture transition distribution (MTD) models via predictive distributions
• Exchangeable claim sizes in a compound Poisson-type process
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach
• Beta-binomial stick-breaking non-parametric prior
• Multivariate normal mean–variance mixture distribution based on Birnbaum–Saunders distribution
• Poisson-Driven Stationary Markov Models
• Gibbs sampling, exponential families and orthogonal polynomials
• Lindley first-order autoregressive model with applications
• On the construction of stationary processes and random fields
• Exponential Growth of Bifurcating Processes with Ancestral Dependence
• Observation-driven generalized state space models for categorical time series
• On Construction and Estimation of Stationary Mixture Transition Distribution Models
• A fleming-Viot process and Bayesian nonparametrics
• Modelling correlated bivariate binary data: a comparative view
• General dependence structures for some models based on exponential families with quadratic variance functions
• Duality for a class of continuous-time reversible Markov models
• A Note on Whittle's Likelihood
• Extended constructions of stationary autoregressive processes

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