Pitt, Michael K., Chatfield, Chris, Walker, Stephen G. (2002) Constructing first order stationary autoregressive models via latent processes. Scandinavian Journal of Statistics, 29 (4). pp. 657-663. ISSN 0303-6898. (doi:10.1111/1467-9469.00311) (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:10569)
| 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/10.1111/1467-9469.00311 |
Abstract
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.
| Item Type: | Article |
|---|---|
| DOI/Identification number: | 10.1111/1467-9469.00311 |
| Uncontrolled keywords: | autocorrelation function; autoregressive process; EM algorithm; exponential family; latent process; stationary time series |
| Subjects: | Q Science > QA Mathematics (inc Computing science) |
| Divisions: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |
| Depositing User: | Judith Broom |
| Date Deposited: | 25 Oct 2008 17:29 UTC |
| Last Modified: | 05 Nov 2024 09:43 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/10569 (The current URI for this page, for reference purposes) |
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