Constructing first order stationary autoregressive models via latent processes

Pitt, Michael K., Chatfield, Chris, Walker, Stephen G. . Scandinavian Journal of Statistics 2002. 29 (4) :657-663

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Bibtex

@article{CIS-182141,
  Author = {Pitt, Michael K. and Chatfield, Chris and Walker, Stephen G.},
  Title = {Constructing first order stationary autoregressive models via latent processes},
  Journal = {Scandinavian Journal of Statistics},
  Volume = {29},
  Number = {4},
  Year = {2002},
  Pages = {657--663},
  Keywords = {Stationary time series, Exponential family, Autoregressive process, EM algorithm, Autocorrelation function}
}

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