Contreras-Cristan, Alberto, Mena, Ramses H., Walker, Stephen G. (2009) On the construction of stationary AR(1) models via random distributions. Statistics, 43 (3). pp. 227-240. ISSN 0233-1888. (doi:10.1080/02331880802259391) (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:12680)
| 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/10.1080/02331880802259391 |
|
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 |
|---|---|
| DOI/Identification number: | 10.1080/02331880802259391 |
| 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) |
| 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: | 17 Mar 2009 15:44 UTC |
| Last Modified: | 20 May 2025 11:32 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/12680 (The current URI for this page, for reference purposes) |
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