Pitt, M.K. and Walker, S.G. (2006) Extended constructions of stationary autoregressive processes. Statistics & Probability Letters, 76 (12). pp. 1219-1224. ISSN 0167-7152.
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This paper extends recent ideas for constructing classes of stationary autoregressive processes of order 1. A Gibbs sampler representation of such processes is extended in a straightforward way to introduce new processes. These maintain a linear expectation property which provides a simple exponential form for the autocorrelation function.
|Uncontrolled keywords:||stationary process; Gibbs sampler|
|Subjects:||Q Science > QA Mathematics (inc Computing science)|
|Divisions:||Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics|
|Depositing User:||Judith Broom|
|Date Deposited:||08 Sep 2008 22:48|
|Last Modified:||14 Jan 2010 14:40|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/10543 (The current URI for this page, for reference purposes)|
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