On the Sufficient Statistics for Stationary Gaussian Random Processes

DOI10.1137/1106024MaRDI QIDQ5609772zbMATH OpenOpenAlexFDO

Authors

Publication date 1962

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

Full work available at URL http://real.mtak.hu/17132/1/007_Egyesitett_On%20the%20Sufficient%20Statistics%20for%20Stationary%20Gaussian%20Random%20Processes.pdf

Mathematics Subject Classification ID

Gaussian processes (60G15) Stopping times; optimal stopping problems; gambling theory (60G40) Sufficient statistics and fields (62B05)

Cited in

(8)

• A note on the exact transformation associated with the first-order moving average process
• Empirical Characteristic Function Estimation and Its Applications
• DIFFERENTIAL GEOMETRY OF ARMA MODELS
• Sufficient statistics for arma models with some fixed parameters
• SUFFICIENT STATISTICS FOR STATIONARY DISCRETE‐TIME GAUSSIAN RANDOM PROCESSES
• The concept of sufficiency in conditional frequentist inference
• Statistical analysis of parsimonious high-order multivariate finite Markov chains based on sufficient statistics
• On the sufficient statistics for multivariate ARMA models: approximate approach

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