Article ID Journal Published Year Pages File Type
1153889 Statistics & Probability Letters 2007 7 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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