Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153889 | Statistics & Probability Letters | 2007 | 7 Pages |
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
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Luis E. Nieto-Barajas, Stephen G. Walker,