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dc.contributor.authorMa, Chunsheng
dc.date.accessioned2017-09-18T02:05:39Z
dc.date.available2017-09-18T02:05:39Z
dc.date.issued2017-08
dc.identifier.citationMa, C. (2017) Vector Stochastic Processes with Pólya-Type Correlation Structure. International Statistical Review, 85: 340–354en_US
dc.identifier.issn0306-7734
dc.identifier.otherWOS:000407276800008
dc.identifier.urihttp://dx.doi.org/10.1111/insr.12204
dc.identifier.urihttp://hdl.handle.net/10057/14085
dc.descriptionClick on the DOI link to access the article (may not be free).en_US
dc.description.abstractThis 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.en_US
dc.language.isoen_USen_US
dc.publisherWileyen_US
dc.relation.ispartofseriesInternational Statistical Review;v.85:no.2
dc.subjectCross covarianceen_US
dc.subjectDirect covarianceen_US
dc.subjectCovariance matrix functionen_US
dc.subjectElliptically contoured processen_US
dc.subjectGaussian processen_US
dc.subjectInfinitely divisibleen_US
dc.subjectLevy processen_US
dc.subjectPolya-type functionen_US
dc.titleVector stochastic processes with Polya-Type correlation structureen_US
dc.typeArticleen_US
dc.rights.holder© 2016 The Authors. International Statistical Review © 2016 International Statistical InstituteWien_US


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