On model fitting and estimation of strictly stationary processes

Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen


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.


AR(1) representation; asymptotic normality; consistency; estimation; strictly stationary processes

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DOI: http://dx.doi.org/10.15559/17-VMSTA91


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