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Extended constructions of stationary autoregressive processes

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  • Pitt, Michael K.
  • Walker, Stephen G.

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.

Suggested Citation

  • Pitt, Michael K. & Walker, Stephen G., 2006. "Extended constructions of stationary autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 76(12), pages 1219-1224, July.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:12:p:1219-1224
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    References listed on IDEAS

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    1. Pitt, Michael K. & Walker, Stephen G., 2005. "Constructing Stationary Time Series Models Using Auxiliary Variables With Applications," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 554-564, June.
    2. 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.
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    Cited by:

    1. Martínez-Ovando Juan Carlos & Walker Stephen G., 2011. "Time-series Modelling, Stationarity and Bayesian Nonparametric Methods," Working Papers 2011-08, Banco de México.

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    Keywords

    Stationary process Gibbs sampler;

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