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Construction of stationary time series via the Gibbs sampler with application to volatility models

By Michael K. Pitt and S. G. (Stephen G.) Walker

Abstract

In this paper, we provide a method for modelling stationary time series. We allow the family of marginal densities for the observations to be specified. Our approach is to construct the model with a specified marginal family and build the dependence structure around it. We show that the resulting time series is linear with a simple autocorrelation structure. In particular, we present an original application of the Gibbs sampler. We illustrate our approach by fitting a model to time series count data with a marginal Poisson-gamma density

Topics: HB, QA
Publisher: University of Warwick, Department of Economics
Year: 2001
OAI identifier: oai:wrap.warwick.ac.uk:1586

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