General dependence structures for some models based on exponential families with quadratic variance functions
Por:
Nieto-Barajas, Luis, Gutierrez-Pena, Eduardo
Publicada:
1 sep 2022
Resumen:
We describe a procedure to introduce general dependence structures on a
set of random variables. These include order-q moving average-type
structures, as well as seasonal, periodic, spatial and spatio-temporal
dependences. The invariant marginal distribution can be in any family
that is conjugate to an exponential family with quadratic variance
function. Dependence is induced via a set of suitable latent variables
whose conditional distribution mirrors the sampling distribution in a
Bayesian conjugate analysis of such exponential families. We obtain
strict stationarity as a special case.
Filiaciones:
Nieto-Barajas, Luis:
Department of Statistics, ITAM, Mexico City, Mexico
Gutierrez-Pena, Eduardo:
Department of Probability and Statistics, IIMAS-UNAM, Mexico City, Mexico
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