Pitt, Michael K., Walker, Stephen G. (2006) Extended constructions of stationary autoregressive processes. Statistics & Probability Letters, 76 (12). pp. 1219-1224. ISSN 0167-7152. (doi:10.1016/j.spl.2005.12.020) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:10543)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| 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 |
|---|---|
| DOI/Identification number: | 10.1016/j.spl.2005.12.020 |
| Uncontrolled keywords: | stationary process; Gibbs sampler |
| Subjects: | Q Science > QA Mathematics (inc Computing science) |
| Institutional Unit: | Schools > School of Engineering, Mathematics and Physics > Mathematical Sciences |
| Former Institutional Unit: |
Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
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| Depositing User: | Judith Broom |
| Date Deposited: | 08 Sep 2008 22:48 UTC |
| Last Modified: | 20 May 2025 11:31 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/10543 (The current URI for this page, for reference purposes) |
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