Constructing first order stationary autoregressive models via latent processes

被引：37

作者：

Pitt, MK

Chatfield, C

Walker, SG ^{[1
]}

机构：

[1] Univ Bath, Sch Math Sci, Bath BA2 7AY, Avon, England

[2] Univ Warwick, Coventry CV4 7AL, W Midlands, England

来源：

SCANDINAVIAN JOURNAL OF STATISTICS | 2002年 / 29卷 / 04期

关键词：

autocorrelation function; autoregressive process; EM algorithm; exponential family; latent process; stationary time series;

D O I：

10.1111/1467-9469.00311

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：657 / 663

页数：7

共 50 条

[1] Learning Vector Autoregressive Models with Latent Processes
Salehkaleybar, Saber
Etesami, Jalal
Kiyavash, Negar
Zhang, Kun
THIRTY-SECOND AAAI CONFERENCE ON ARTIFICIAL INTELLIGENCE / THIRTIETH INNOVATIVE APPLICATIONS OF ARTIFICIAL INTELLIGENCE CONFERENCE / EIGHTH AAAI SYMPOSIUM ON EDUCATIONAL ADVANCES IN ARTIFICIAL INTELLIGENCE, 2018, : 4000 - 4007
[2] Performance Comparison of Residual Control Charts for Trend Stationary First Order Autoregressive Processes
Karaoglan, Aslan Deniz
Bayhan, Gunhan Mirac
GAZI UNIVERSITY JOURNAL OF SCIENCE, 2011, 24 (02): : 329 - 339
[3] Comparison of spatial interpolation methods in the first order stationary multiplicative spatial autoregressive models
Saber, M. M.
Nematollahi, A. R.
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2017, 46 (18) : 9230 - 9246
[4] Decomposition of an autoregressive process into first order processes
Monsour, Michael J.
JOURNAL OF MULTIVARIATE ANALYSIS, 2016, 147 : 295 - 314
[5] On robust estimation in the first order autoregressive processes
Haddad, JN
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2000, 29 (01) : 45 - 54
[6] A test for independence of two stationary infinite order autoregressive processes
Eunhee Kim
Sangyeol Lee
Annals of the Institute of Statistical Mathematics, 2005, 57 : 105 - 127
[7] A test for independence of two stationary infinite order autoregressive processes
Kim, E
Lee, S
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2005, 57 (01) : 105 - 127
[8] Network Identification With Latent Nodes via Autoregressive Models
Nozari, Erfan
Zhao, Yingbo
Cortes, Jorge
IEEE TRANSACTIONS ON CONTROL OF NETWORK SYSTEMS, 2018, 5 (02): : 722 - 736
[9] Stationary autoregressive models via a Bayesian nonparametric approach
Mena, RH
Walker, SG
JOURNAL OF TIME SERIES ANALYSIS, 2005, 26 (06) : 789 - 805
[10] A characterization of the innovations of first order autoregressive models
D. Moriña
P. Puig
J. Valero
Metrika, 2015, 78 : 219 - 225

← 1 2 3 4 5 →