Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154726 | Statistics & Probability Letters | 2006 | 6 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Michael K. Pitt, Stephen G. Walker,