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A Note on Generation, Estimation and Prediction of Stationary Processes

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

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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)

Item Type: Paper
Additional Information: published in: CompStat 1994. Proceedings in computational statistics, ed. R. Dutter and W. Grossmann, Heidelberg : Physica, 1994, pp. 323 - 328
Keywords: Cholesky decomposition / Toeplitz matrices / fractional integration
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 07 Nov 2005 13:04
Last Modified: 01 Apr 2015 04:14
URI: http://epub.wu.ac.at/id/eprint/142


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