General dependence structures for some models based on exponential families with quadratic variance functions
Statistics Theory
2021-10-15 v2 Methodology
Statistics Theory
Abstract
We describe a procedure to introduce general dependence structures on a set of random variables. These include order- 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.
Cite
@article{arxiv.2103.01218,
title = {General dependence structures for some models based on exponential families with quadratic variance functions},
author = {Luis Nieto-Barajas and Eduardo Gutiérrez-Peña},
journal= {arXiv preprint arXiv:2103.01218},
year = {2021}
}