Vector stochastic processes with Polya-Type correlation structure
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Ma, C. (2017) Vector Stochastic Processes with Pólya-Type Correlation Structure. International Statistical Review, 85: 340–354
This paper introduces a simple method to construct a stationary process on the real line with a Polya-type covariance function and with any infinitely divisible marginal distribution, by randomising the timescale of the increment of a second-order Levy process with an appropriate positive random variable. With the construction method extended to the multivariate case, we construct vector stochastic processes with Polya-type direct covariance functions and with any specified infinitely divisible marginal distributions. This makes available a new class of non-Gaussian vector stochastic processes with flexible correlation structure for use in modelling and simulation.
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