Stationary Gaussian Markov processes as limits of stationary autoregressive time series

DOI10.1016/j.jmva.2016.12.008zbMath1358.60056OpenAlexW2561783348MaRDI QIDQ512009

Robert L. Wolpert, Lawrence D. Brown, Philip A. Ernst, Lawrence A. Shepp

Publication date: 23 February 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://repository.upenn.edu/statistics_papers/622

zbMATH Keywords

stochastic differential equationsstationarityautoregressive time seriesGaussian Markov processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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