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Construction of Stationary Time Series via the Gibbs Sampler with Application to Volatility Models

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  • Pitt, Michael K.
  • Walker, Stephen G.

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 specied. Our approach is to construct the model with a specied 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.

Suggested Citation

  • Pitt, Michael K. & Walker, Stephen G., 2001. "Construction of Stationary Time Series via the Gibbs Sampler with Application to Volatility Models," Economic Research Papers 269365, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:269365
    DOI: 10.22004/ag.econ.269365
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    References listed on IDEAS

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