A Note on Generation, Estimation and Prediction of Stationary Processes

Michael A. Hauser; Wolfgang Hörmann; Robert M. Kunst; Jörg Lenneis

doi:10.57938/63341672-b90a-42a0-b35e-0538ec693f72

A Note on Generation, Estimation and Prediction of Stationary Processes

Michael A. Hauser, Wolfgang Hörmann, Robert M. Kunst, Jörg Lenneis

Statistics and Mathematics

Publikation: Working/Discussion Paper › WU Working Paper und Case

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Abstract

Some recently discussed stationary processes like fractionally integrated processes cannot be described by low order autoregressive or moving average (ARMA) models rendering the common algorithms for generation estimation and prediction partly very misleading. We offer an unified approach based on the Cholesky decomposition of the covariance matrix which makes these problems exactly solvable in an efficient way. (author's abstract)

Originalsprache	Englisch
Erscheinungsort	Vienna
Herausgeber	Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
DOIs	https://doi.org/10.57938/63341672-b90a-42a0-b35e-0538ec693f72
Publikationsstatus	Veröffentlicht - 1994

Publikationsreihe

Reihe	Preprint Series / Department of Applied Statistics and Data Processing
Nummer	9

WU Working Papers und Cases

Preprint Series / Department of Applied Statistics and Data Processing

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10.57938/63341672-b90a-42a0-b35e-0538ec693f72Lizenz: Nicht angegeben

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1 Beitrag in Konferenzband

A note on generation, estimation and prediction of stationary processes
Hauser, M., Hörmann, W., Kunst, R. M. & Lenneis, J., 1994, COMPSTAT Proceedings in Computational Statistics, 11th Symposium, Vienna. Rudolf Dutter and Wilfried Grossmann (Hrsg.). Heidelberg: Physica-Verlag, S. 323 - 329
Publikation: Beitrag in Buch/Konferenzband › Beitrag in Konferenzband

Zitat

Hauser, M. A., Hörmann, W., Kunst, R. M., & Lenneis, J. (1994). A Note on Generation, Estimation and Prediction of Stationary Processes. (June 1994 Aufl.) Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business. Preprint Series / Department of Applied Statistics and Data Processing Nr. 9 https://doi.org/10.57938/63341672-b90a-42a0-b35e-0538ec693f72

Hauser, Michael A. ; Hörmann, Wolfgang ; Kunst, Robert M. et al. / A Note on Generation, Estimation and Prediction of Stationary Processes. June 1994. Aufl. Vienna : Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, 1994. (Preprint Series / Department of Applied Statistics and Data Processing; Nr. 9).

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Hauser, MA, Hörmann, W, Kunst, RM & Lenneis, J 1994 'A Note on Generation, Estimation and Prediction of Stationary Processes' Preprint Series / Department of Applied Statistics and Data Processing, Nr. 9, June 1994 Aufl., Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna. https://doi.org/10.57938/63341672-b90a-42a0-b35e-0538ec693f72

A Note on Generation, Estimation and Prediction of Stationary Processes. / Hauser, Michael A.; Hörmann, Wolfgang; Kunst, Robert M. et al.
June 1994. Aufl. Vienna: Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, 1994.

Publikation: Working/Discussion Paper › WU Working Paper und Case

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A Note on Generation, Estimation and Prediction of Stationary Processes

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A note on generation, estimation and prediction of stationary processes

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