IDEAS home Printed from https://ideas.repec.org/a/bla/scjsta/v29y2002i4p657-663.html
   My bibliography  Save this article

Constructing First Order Stationary Autoregressive Models via Latent Processes

Author

Listed:
  • MICHAEL K. PITT
  • CHRIS CHATFIELD
  • STEPHEN G. WALKER

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.

Suggested Citation

  • Michael K. Pitt & Chris Chatfield & Stephen G. Walker, 2002. "Constructing First Order Stationary Autoregressive Models via Latent Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(4), pages 657-663, December.
    • Handle: RePEc:bla:scjsta:v:29:y:2002:i:4:p:657-663
    DOI: 10.1111/1467-9469.00311
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9469.00311
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9469.00311?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
    2. Theodoros Nicoleris & Spyridon J. Hatjispyros & Stephen G. Walker, 2006. "A Flaming-Viot Process and Bayesian non Parametric," ICER Working Papers - Applied Mathematics Series 17-2006, ICER - International Centre for Economic Research.
    3. Leisen, Fabrizio & Mena, Ramsés H. & Palma, Freddy & Rossini, Luca, 2019. "On a flexible construction of a negative binomial model," Statistics & Probability Letters, Elsevier, vol. 152(C), pages 1-8.
    4. de Alba, Enrique & Nieto-Barajas, Luis E., 2008. "Claims reserving: A correlated Bayesian model," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 368-376, December.
    5. Kalli, Maria & Griffin, Jim E., 2014. "Time-varying sparsity in dynamic regression models," Journal of Econometrics, Elsevier, vol. 178(2), pages 779-793.
    6. Tian, Fengping & Yang, Ke & Chen, Langnan, 2017. "Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity," International Journal of Forecasting, Elsevier, vol. 33(1), pages 132-152.
    7. Ramsés Mena & Stephen Walker, 2007. "On the Stationary Version of the Generalized Hyperbolic ARCH Model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(2), pages 325-348, June.
    8. Yang Lu, 2020. "A simple parameter‐driven binary time series model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 187-199, March.
    9. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
    10. Luis Nieto-Barajas & Eduardo Gutiérrez-Peña, 2022. "General dependence structures for some models based on exponential families with quadratic variance functions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 699-716, September.
    11. Ramsés H. Mena & Stephen G. Walker, 2005. "Stationary Autoregressive Models via a Bayesian Nonparametric Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(6), pages 789-805, November.
    12. Pitt, Michael K. & Walker, Stephen G., 2006. "Extended constructions of stationary autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 76(12), pages 1219-1224, July.
    13. Martínez-Ovando Juan Carlos & Walker Stephen G., 2011. "Time-series Modelling, Stationarity and Bayesian Nonparametric Methods," Working Papers 2011-08, Banco de México.
    14. Zhen, X. & Basawa, I.V., 2009. "Observation-driven generalized state space models for categorical time series," Statistics & Probability Letters, Elsevier, vol. 79(24), pages 2462-2468, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:scjsta:v:29:y:2002:i:4:p:657-663. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0303-6898 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.