Stationary Autoregressive Models via a Bayesian Nonparametric Approach

Ramsés H. Mena and Stephen G. Walker

Journal of Time Series Analysis, 2005, vol. 26, issue 6, 789-805

Abstract: Abstract. An approach to constructing strictly stationary AR(1)‐type models with arbitrary stationary distributions and a flexible dependence structure is introduced. Bayesian nonparametric predictive density functions, based on single observations, are used to construct the one‐step ahead predictive density. This is a natural and highly flexible way to model a one‐step predictive/transition density.

Date: 2005
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