On the Sufficient Statistics for Stationary Gaussian Random Processes

DOI10.1137/1106024zbMATH Open0209.19404OpenAlexW2062054157MaRDI QIDQ5609772FDOQ5609772

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 (7)

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

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