Nieto-Barajas, L.E. and Walker, S.G. (2007) Gibbs and autoregressive Markov processes. Statistics and Probability Letters, 77 (14). pp. 1479-1485. ISSN 0167-7152.
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| Official URL http://dx.doi.org/10.1016/j.spl.2007.02.015 |
Abstract
In this paper we show that particular Gibbs sampler Markov processes can be modified to an autoregressive Markov process. The procedure allows the easy derivation of the innovation variables which provide strictly stationary autoregressive processes with fixed marginals. In particular, we provide the innovation variables for beta, gamma and Dirichlet processes.
| Item Type: | Article |
|---|---|
| Uncontrolled keywords: | autoregressive process; cadlag functions space; continuous time Markov process; discrete time Markov process; Levy process |
| Subjects: | Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics Q Science > QA Mathematics (inc Computing science) > QA273 Probabilities |
| Divisions: | Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics |
| Depositing User: | Suzanne Duffy |
| Date Deposited: | 21 Apr 2008 08:13 |
| Last Modified: | 14 Jan 2010 14:08 |
| Resource URI: | http://kar.kent.ac.uk/id/eprint/2663 (The current URI for this page, for reference purposes) |
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