Gibbs and autoregressive Markov processes

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.

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Year of publication:	2007
Authors:	Nieto-Barajas, Luis E. ; Walker, Stephen G.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 14, p. 1479-1485
Publisher:	Elsevier
Keywords:	Autoregressive process Cadlag functions space Continuous time Markov process Discrete time Markov process Lévy process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137927