Pitt, M.K. and Chatfield, C. and Walker, S.G. (2002) Constructing first order stationary autoregressive models via latent processes. Scandanavian Journal of Statistics, 29 (4). pp. 657-663. ISSN 0303-6898.
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First order stationary autoregressive (AR(1)) models are introduced for which there exists a linear relation between the expectations of the observations, and where it is readily possible to arrange the marginal distributions to be other than normal.
|Uncontrolled keywords:||autocorrelation function; autoregressive process; EM algorithm; exponential family; latent process; stationary time series|
|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:||25 Oct 2008 17:29|
|Last Modified:||14 Jan 2010 14:40|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/10569 (The current URI for this page, for reference purposes)|
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