SUFFICIENT STATISTICS FOR STATIONARY DISCRETE‐TIME GAUSSIAN RANDOM PROCESSES

Bradley W. Dickinson

Journal of Time Series Analysis, 1982, vol. 3, issue 3, 165-168

Abstract: Abstract. It is known that the distribution of N samples of a stationary Gaussian autoregressive process admits a sufficient statistic whose dimension is independent of N. We show that this property depends not on the absence of spectral zeros in autoregressive models, but rather on the fact that the class of models has a fixed set of spectral zeros.

Date: 1982
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1982.tb00338.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:3:y:1982:i:3:p:165-168

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().