Nieto-Barajas, Luis E., Walker, Stephen G. (2007) Gibbs and autoregressive Markov processes. Statistics and Probability Letters, 77 (14). pp. 1479-1485. ISSN 0167-7152. (doi:10.1016/j.spl.2007.02.015) (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:2663)
| 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.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 |
|---|---|
| DOI/Identification number: | 10.1016/j.spl.2007.02.015 |
| 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: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |
| Depositing User: | Suzanne Duffy |
| Date Deposited: | 21 Apr 2008 08:13 UTC |
| Last Modified: | 16 Nov 2021 09:41 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/2663 (The current URI for this page, for reference purposes) |
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