On Sufficient Statistics of Gaussian Processes with Rational Spectral Density Function

DOI10.1137/1130009MaRDI QIDQ3716015zbMATH OpenOpenAlexFDO

Authors

Publication date 1986

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1130009

zbMATH Keywords

representation theoremstochastic differential equationsstationary Gaussian ARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Sufficient statistics and fields (62B05)

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(6)

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• Structure of stationary finite observation records of discrete-time stochastic linear systems
• On the properties of an empirical correlogram of a Gaussian process with square integrable spectral density
• Maximum likelihood estimation for continuous-time autoregressive models by relaxation on residual variances ratio parameters
• On the sufficient statistics for multivariate ARMA models: approximate approach
• Sufficient statistics for arma models with some fixed parameters

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