On Sufficient Statistics of Gaussian Processes with Rational Spectral Density Function

DOI10.1137/1130009zbMath0588.62004OpenAlexW2021638592MaRDI QIDQ3716015

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Publication date: 1986

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1130009

zbMATH Keywords

representation theoremstochastic differential equationsstationary Gaussian ARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Sufficient statistics and fields (62B05)

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