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.
| The full text of this publication is not available from this repository. (Contact us about this Publication) | |
| Official URL http://dx.doi.org/10.1016/j.spl.2005.12.020 |
Abstract
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.
| Item Type: | Article |
|---|---|
| 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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