On the construction of stationary AR(1) models via random distributions

Contreras-Cristan, A. and Mena, R.H. and Walker, S.G. (2009) On the construction of stationary AR(1) models via random distributions. Statistics, 43 (3). pp. 227-240. ISSN 0233-1888. (The full text of this publication is not available from this repository)

The full text of this publication is not available from this repository. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1080/02331880802259391

Abstract

We explore a method for constructing first-order stationary autoregressive-type models with given marginal distributions. We impose the underlying dependence structure in the model using Bayesian non-parametric predictive distributions. This approach allows for nonlinear dependency and at the same time works for any choice of marginal distribution. In particular, we look at the case of discrete-valued models; that is the marginal distributions are supported on the non-negative integers.

Item Type: Article
Uncontrolled keywords: AR model; Beta-Stacy process; Bayesian non-parametrics; discrete-valued time series; Plya trees; stationary process
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: 17 Mar 2009 15:44
Last Modified: 07 Feb 2012 16:18
Resource URI: http://kar.kent.ac.uk/id/eprint/12680 (The current URI for this page, for reference purposes)
  • Depositors only (login required):