Further comments on the representation problem for stationary processes

Stéphane Laurent

Statistics & Probability Letters, 2010, vol. 80, issue 7-8, 592-596

Abstract: We comment on some points about the coding of stochastic processes by sequences of independent random variables. The most interesting question has to do with the standardness property of the filtration generated by the process, in the framework of Vershik's theory of filtrations. Non-standardness indicates the presence of long memory in a purely probabilistic sense. We aim to provide a short, non-technical presentation of Vershik's theory of filtrations.

Date: 2010
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