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Constructing First Order Stationary Autoregressive Models via Latent Processes
Author(s) -
PITT MICHAEL K.,
CHATFIELD CHRIS,
WALKER STEPHEN G.
Publication year - 2002
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00311
Subject(s) - autoregressive model , mathematics , star model , econometrics , latent variable , stationary process , nonlinear autoregressive exogenous model , marginal distribution , setar , order (exchange) , statistics , autoregressive integrated moving average , time series , random variable , finance , economics
First order stationary autoregressive (AR(1)) models are introduced for which there exists a linear relation between the expectations of the observations, and where it is readily possible to arrange the marginal distributions to be other than normal.
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