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arXiv · 2103.01218

General dependence structures for some models based on exponential families with quadratic variance functions

Luis Nieto-Barajas·Eduardo Gutiérrez-Peña
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Abstract

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.

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Luis Nieto-Barajas, Eduardo Gutiérrez-Peña. 2021-02-26. General dependence structures for some models based on exponential families with quadratic variance functions. https://arxiv.org/abs/2103.01218

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