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

convolution-closed exponential distribution classEM algorithmmarginal densityMarkov processmaximum likelihood estimation

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

(30)

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• On a flexible construction of a negative binomial model
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• Time-varying sparsity in dynamic regression models
• Claims reserving: A correlated Bayesian model
• Lindley first-order autoregressive model with applications
• Exchangeable claim sizes in a compound Poisson-type process
• On a construction of stationary processes via bilateral matrix-exponential distributions
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• On Construction and Estimation of Stationary Mixture Transition Distribution Models
• Moderate deviation principles for bifurcating Markov chains: case of functions dependent of one variable
• Multivariate normal mean-variance mixture distribution based on Birnbaum-Saunders distribution
• Exponential growth of bifurcating processes with ancestral dependence
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach
• Poisson-Driven Stationary Markov Models
• On the construction of stationary processes and random fields
• Logistic-beta processes for dependent random probabilities with beta marginals
• Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility
• Martingale posterior distributions for time-series models
• Gibbs sampling, exponential families and orthogonal polynomials
• On the stationary version of the generalized hyperbolic ARCH model
• Stationary mixture transition distribution (MTD) models via predictive distributions

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