General dependence structures for some models based on exponential families with quadratic variance functions
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Luis Nieto-Barajas [1] ; Eduardo Gutiérrez-Peña [2]
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[1] Department of Statistics, ITAM, Mexico City, Mexico
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[2] Department of Probability and Statistics, IIMAS-UNAM, Mexico City, Mexico
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- Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 31, Nº. 3, 2022, págs. 699-716
- Idioma: inglés
- Texto completo no disponible (Saber más ...)
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Resumen
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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