On model Fitting and estimation of strictly stationary processes

DOI10.15559/17-VMSTA91MaRDI QIDQ1697205zbMATH OpenOpenAlexFDO

Authors Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen

Publication date 15 February 2018

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

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

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)

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.

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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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