Article ID Journal Published Year Pages File Type
1154726 Statistics & Probability Letters 2006 6 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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