Constructing First Order Stationary Autoregressive Models via Latent Processes

Michael K. Pitt, Chris Chatfield and Stephen G. Walker

Scandinavian Journal of Statistics, 2002, vol. 29, issue 4, 657-663

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.

Date: 2002
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