General dependence structures for some models based on exponential families with quadratic variance functions

Luis Nieto-Barajas () and Eduardo Gutiérrez-Peña ()
Additional contact information
Luis Nieto-Barajas: ITAM
Eduardo Gutiérrez-Peña: IIMAS-UNAM

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2022, vol. 31, issue 3, No 6, 699-716

Abstract: Abstract We describe a procedure to introduce general dependence structures on a set of random variables. These include order-q moving average-type structures, as well as seasonal, periodic, spatial and spatio-temporal dependences. The invariant marginal distribution can be in any family that is conjugate to an exponential family with quadratic variance function. Dependence is induced via a set of suitable latent variables whose conditional distribution mirrors the sampling distribution in a Bayesian conjugate analysis of such exponential families. We obtain strict stationarity as a special case.

Keywords: Autoregressive process; Conjugate family; Exponential family; Latent variable; Moving average process; Stationary process; 62M10; 62E15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11749-021-00798-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:testjl:v:31:y:2022:i:3:d:10.1007_s11749-021-00798-4

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11749/PS2

DOI: 10.1007/s11749-021-00798-4

Access Statistics for this article

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research is currently edited by Alfonso Gordaliza and Ana F. Militino

More articles in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research from Springer, Sociedad de Estadística e Investigación Operativa
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().