A Note on Generation, Estimation and Prediction of Stationary Processes

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

Publication: Working/Discussion PaperWU Working Paper

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 languageEnglish
Place of PublicationVienna
PublisherDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
Publication statusPublished - 1994

Publication series

NamePreprint Series / Department of Applied Statistics and Data Processing
No.9

WU Working Paper Series

  • Preprint Series / Department of Applied Statistics and Data Processing

Cite this