On model Fitting and estimation of strictly stationary processes

DOI10.15559/17-VMSTA91zbMATH Open1382.60062arXiv1708.07446OpenAlexW2750003034MaRDI QIDQ1697205FDOQ1697205

Authors: Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen 

Publication date: 15 February 2018

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: Stationary processes have been extensively studied in the literature. Their applications include modeling and forecasting numerous real life phenomena such as natural disasters, sales and market movements. When stationary processes are considered, modeling is traditionally based on fitting an autoregressive moving average (ARMA) process. However, we challenge this conventional approach. Instead of fitting an ARMA model, we apply an AR(1) characterization in modeling any strictly stationary processes. Moreover, we derive consistent and asymptotically normal estimators of the corresponding model parameter.

Full work available at URL: https://arxiv.org/abs/1708.07446

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zbMATH Keywords

asymptotic normalityconsistencyestimationstrictly stationary processesAR(1) representation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

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Cited In (6)

• Statistical estimation for stationary models with tapered data
• On the ARCH model with stationary liquidity
• AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation
• Note on AR(1)-characterisation of stationary processes and model fitting
• On Lamperti transformation and AR(1) type characterisations of discrete random fields
• Estimating deformations of stationary processes

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