On model fitting and estimation of strictly stationary processes
Abstract
Stationary processes have been extensively studied in the literature. Their applications include modeling and forecasting numerous real life phenomena such as natural disasters, sales and market movements. When stationary processes are considered, modeling is traditionally based on fitting an autoregressive moving average (ARMA) process. However, we challenge this conventional approach. Instead of fitting an ARMA model, we apply an AR(1) characterization in modeling any strictly stationary processes. Moreover, we derive consistent and asymptotically normal estimators of the corresponding model parameter.
Cite
@article{arxiv.1708.07446,
title = {On model fitting and estimation of strictly stationary processes},
author = {Marko Voutilainen and Lauri Viitasaari and Pauliina Ilmonen},
journal= {arXiv preprint arXiv:1708.07446},
year = {2018}
}
Comments
Published at https://doi.org/10.15559/17-VMSTA91 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)