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

Institute for Statistics and Mathematics

Publication: Working/Discussion Paper › WU Working Paper

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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)

Original language	English
Place of Publication	Vienna
Publisher	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
Publication status	Published - 1994

Publication series

Series	Preprint Series / Department of Applied Statistics and Data Processing
Number	9

WU Working Paper Series

Preprint Series / Department of Applied Statistics and Data Processing

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1 Contribution to conference proceedings

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 (ed.). Heidelberg: Physica-Verlag, p. 323 - 329
Publication: Chapter in book/Conference proceeding › Contribution to conference proceedings

Cite this

Hauser, M. A., Hörmann, W., Kunst, R. M., & Lenneis, J. (1994). A Note on Generation, Estimation and Prediction of Stationary Processes. (June 1994 ed.) 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 No. 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. ed. 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; No. 9).

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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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