Stationary Gaussian Markov processes as limits of stationary autoregressive time series

DOI10.1016/J.JMVA.2016.12.008zbMATH Open1358.60056OpenAlexW2561783348MaRDI QIDQ512009FDOQ512009

Authors: Philip Ernst, Lawrence Brown, Robert L. Wolpert, Larry Shepp 

Publication date: 23 February 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://repository.upenn.edu/statistics_papers/622

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zbMATH Keywords

stationaritystochastic differential equationsautoregressive time seriesGaussian Markov processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• On the Unique Identification of Continuous-Time Autoregressive Models From Sampled Data

Cited In (4)

• Title not available (Why is that?)
• AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation
• Title not available (Why is that?)
• Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes

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