Stationary Gaussian Markov processes as limits of stationary autoregressive time series
Journal Article
© 2017 Elsevier Inc. 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.
Full Text
Duke Authors
Cited Authors
- Ernst, PA; Brown, LD; Shepp, L; Wolpert, RL
Published Date
- March 1, 2017
Published In
Volume / Issue
- 155 /
Start / End Page
- 180 - 186
Electronic International Standard Serial Number (EISSN)
- 1095-7243
International Standard Serial Number (ISSN)
- 0047-259X
Digital Object Identifier (DOI)
- 10.1016/j.jmva.2016.12.008
Citation Source
- Scopus