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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2019-03-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/19-VMSTA132 |