Stationary Gaussian Markov processes as limits of stationary autoregressive time series
Publication
, Journal Article
Ernst, PA; Brown, LD; Shepp, L; Wolpert, RL
Published in: Journal of Multivariate Analysis
March 1, 2017
We consider the class, Cp, of all zero mean stationary Gaussian processes, {Yt:t∈(−∞,∞)} with p derivatives, for which the vector valued process {(Yt(0),…,Yt(p)):t≥0} is a p+1-vector Markov process, where Yt(0)=Y(t). We provide a rigorous description and treatment of these stationary Gaussian processes as limits of stationary AR(p) time series.
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Published In
Journal of Multivariate Analysis
DOI
EISSN
1095-7243
ISSN
0047-259X
Publication Date
March 1, 2017
Volume
155
Start / End Page
180 / 186
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 3802 Econometrics
- 1403 Econometrics
- 0104 Statistics
Citation
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Chicago
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Ernst, P. A., Brown, L. D., Shepp, L., & Wolpert, R. L. (2017). Stationary Gaussian Markov processes as limits of stationary autoregressive time series. Journal of Multivariate Analysis, 155, 180–186. https://doi.org/10.1016/j.jmva.2016.12.008
Ernst, P. A., L. D. Brown, L. Shepp, and R. L. Wolpert. “Stationary Gaussian Markov processes as limits of stationary autoregressive time series.” Journal of Multivariate Analysis 155 (March 1, 2017): 180–86. https://doi.org/10.1016/j.jmva.2016.12.008.
Ernst PA, Brown LD, Shepp L, Wolpert RL. Stationary Gaussian Markov processes as limits of stationary autoregressive time series. Journal of Multivariate Analysis. 2017 Mar 1;155:180–6.
Ernst, P. A., et al. “Stationary Gaussian Markov processes as limits of stationary autoregressive time series.” Journal of Multivariate Analysis, vol. 155, Mar. 2017, pp. 180–86. Scopus, doi:10.1016/j.jmva.2016.12.008.
Ernst PA, Brown LD, Shepp L, Wolpert RL. Stationary Gaussian Markov processes as limits of stationary autoregressive time series. Journal of Multivariate Analysis. 2017 Mar 1;155:180–186.
Published In
Journal of Multivariate Analysis
DOI
EISSN
1095-7243
ISSN
0047-259X
Publication Date
March 1, 2017
Volume
155
Start / End Page
180 / 186
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 3802 Econometrics
- 1403 Econometrics
- 0104 Statistics