Gibbs and autoregressive Markov processes

Luis E. Nieto-Barajas and Stephen G. Walker

Statistics & Probability Letters, 2007, vol. 77, issue 14, 1479-1485

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.

Keywords: Autoregressive; process; Cadlag; functions; space; Continuous; time; Markov; process; Discrete; time; Markov; process; Lévy; process (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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