Note on AR(1)-characterisation of stationary processes and model fitting

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dc.contributorAalto-yliopistofi
dc.contributorAalto Universityen
dc.contributor.authorVoutilainen, Markoen_US
dc.contributor.authorViitasaari, Laurien_US
dc.contributor.authorIlmonen, Pauliinaen_US
dc.contributor.departmentDepartment of Mathematics and Systems Analysisen
dc.contributor.groupauthorMathematical Statistics and Data Scienceen
dc.date.accessioned2019-07-30T07:17:53Z
dc.date.available2019-07-30T07:17:53Z
dc.date.issued2019-06en_US
dc.description.abstractIt was recently proved that any strictly stationary stochastic process can be viewed as an autoregressive process of order one with coloured noise. Furthermore, it was proved that, using this characterisation, one can define closed form estimators for the model parameter based on autocovariance estimators for several different lags. However, this estimation procedure may fail in some special cases. In this article, a detailed analysis of these special cases is provided. In particular, it is proved that these cases correspond to degenerate processes.en
dc.description.versionPeer revieweden
dc.format.extent13
dc.format.mimetypeapplication/pdfen_US
dc.identifier.citationVoutilainen, M, Viitasaari, L & Ilmonen, P 2019, 'Note on AR(1)-characterisation of stationary processes and model fitting', Modern Stochastics: Theory and Applications, vol. 6, no. 2, pp. 195-207. https://doi.org/10.15559/19-VMSTA132en
dc.identifier.doi10.15559/19-VMSTA132en_US
dc.identifier.issn2351-6054
dc.identifier.otherPURE UUID: 7d951402-5cfc-4abd-923d-f191245cb4fcen_US
dc.identifier.otherPURE ITEMURL: https://research.aalto.fi/en/publications/7d951402-5cfc-4abd-923d-f191245cb4fcen_US
dc.identifier.otherPURE FILEURL: https://research.aalto.fi/files/35171108/vmsta_6_2_vmsta132.pdfen_US
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/39456
dc.identifier.urnURN:NBN:fi:aalto-201907304511
dc.language.isoenen
dc.publisherVTeX
dc.relation.ispartofseriesModern Stochastics: Theory and Applicationsen
dc.relation.ispartofseriesVolume 6, issue 2, pp. 195-207en
dc.rightsopenAccessen
dc.subject.keywordAR(1)-characterisationen_US
dc.subject.keywordstationary processesen_US
dc.subject.keywordcovariance functionsen_US
dc.titleNote on AR(1)-characterisation of stationary processes and model fittingen
dc.typeA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessäfi
dc.type.versionpublishedVersion

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