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

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.