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On model fitting and estimation of strictly stationary processes

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dc.contributor Aalto-yliopisto fi
dc.contributor Aalto University en
dc.contributor.author Voutilainen, Marko
dc.contributor.author Viitasaari, Lauri
dc.contributor.author Ilmonen, Pauliina
dc.date.accessioned 2019-05-06T09:23:24Z
dc.date.available 2019-05-06T09:23:24Z
dc.date.issued 2017
dc.identifier.citation Voutilainen , M , Viitasaari , L & Ilmonen , P 2017 , ' On model fitting and estimation of strictly stationary processes ' , Modern Stochastics: Theory and Applications , vol. 4 , no. 4 , pp. 381-406 . https://doi.org/10.15559/17-VMSTA91 en
dc.identifier.issn 2351-6054
dc.identifier.other PURE UUID: ce3a231d-a0b9-4185-9d19-a6fbbdd2993a
dc.identifier.other PURE ITEMURL: https://research.aalto.fi/en/publications/ce3a231d-a0b9-4185-9d19-a6fbbdd2993a
dc.identifier.other PURE LINK: https://www.i-journals.org/vtxpp/VMSTA/article/view/VMSTA91
dc.identifier.other PURE FILEURL: https://research.aalto.fi/files/32889871/vmsta_4_4_vmsta91.pdf
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/37771
dc.description.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. en
dc.format.extent 381-406
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher VTeX
dc.relation.ispartofseries Modern Stochastics: Theory and Applications en
dc.relation.ispartofseries Volume 4, issue 4 en
dc.rights openAccess en
dc.title On model fitting and estimation of strictly stationary processes en
dc.type A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä fi
dc.description.version Peer reviewed en
dc.contributor.department Department of Mathematics and Systems Analysis
dc.contributor.department University of Helsinki
dc.subject.keyword representation
dc.subject.keyword asymptotic normality
dc.subject.keyword consistency
dc.subject.keyword estimation
dc.subject.keyword strictly stationary processes
dc.identifier.urn URN:NBN:fi:aalto-201905062889
dc.identifier.doi 10.15559/17-VMSTA91
dc.type.version publishedVersion

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