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

It 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 esti...

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Bibliographic Details
Main Authors: Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen
Format: Article
Language:English
Published: VTeX 2019-03-01
Series:Modern Stochastics: Theory and Applications
Subjects:
Online Access:https://www.vmsta.org/doi/10.15559/19-VMSTA132