A Note on Generation, Estimation and Prediction of Stationary Processes

2024/01/18 by Hauser, Michael A., Hörmann, Wolfgang, Kunst, Robert M. +1

paper · doi:10.57938/63341672-b90a-42a0-b35e-0538ec693f72

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)

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