Extended constructions of stationary autoregressive processes

Michael K. Pitt and Stephen G. Walker

Statistics & Probability Letters, 2006, vol. 76, issue 12, 1219-1224

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.

Keywords: Stationary; process; Gibbs; sampler (search for similar items in EconPapers)
Date: 2006
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