Constructing First Order Stationary Autoregressive Models via Latent Processes

DOI10.1111/1467-9469.00311MaRDI QIDQ4455925zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• Stationary Time Series Models with Exponential Dispersion Model Margins

Cited in

(26)

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

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