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Extended constructions of stationary autoregressive processes
- Source :
- Statistics & Probability Letters. 76:1219-1224
- Publication Year :
- 2006
- Publisher :
- Elsevier BV, 2006.
-
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.
- Subjects :
- Statistics and Probability
Stationary process
Autocorrelation
Exponential function
symbols.namesake
Probability theory
Autoregressive model
Simple (abstract algebra)
Calculus
symbols
Applied mathematics
Statistics, Probability and Uncertainty
Representation (mathematics)
Mathematics
Gibbs sampling
Subjects
Details
- ISSN :
- 01677152
- Volume :
- 76
- Database :
- OpenAIRE
- Journal :
- Statistics & Probability Letters
- Accession number :
- edsair.doi...........98f2fa562c55f376e222cef83362be78