Abstract
In this paper, we consider a construction of Markov processes with invariant Bilateral Matrix-Exponential distributions. These distributions have support on the entire real line and have rational moment-generating functions, features of importance in the area of stochastic models. The approach taken is based on a latent representation of the corresponding transition probabilities. The structure of the construction goes from the particular to the general: first, we consider Erlang and Gamma distributions, and later we consider Matrix-Exponential distributions. We include a simulation study.
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Acknowledgements
The author gratefully acknowledges the support of a CONACyT postdoctoral fellowship at IIMAS that gave origin to the present work.
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Esparza, L.J.R. (2019). On a Construction of Stationary Processes via Bilateral Matrix-Exponential Distributions. In: Antoniano-Villalobos, I., Mena, R., Mendoza, M., Naranjo, L., Nieto-Barajas, L. (eds) Selected Contributions on Statistics and Data Science in Latin America. FNE 2018. Springer Proceedings in Mathematics & Statistics, vol 301. Springer, Cham. https://doi.org/10.1007/978-3-030-31551-1_10
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