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Further comments on the representation problem for stationary processes

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Laurent, Stephane [UCL]

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. (C) 2009 Elsevier B.V. All rights reserved.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2010
Language Anglais
Journal information "Statistics & Probability Letters" - Vol. 80, no. 7-8, p. 592-596 (2010)
Peer reviewed yes
Publisher Elsevier Science Bv (Amsterdam)
issn 0167-7152
Affiliation UCL
Links
Bibliographic reference Laurent, Stephane. Further comments on the representation problem for stationary processes. In: Statistics & Probability Letters, Vol. 80, no. 7-8, p. 592-596 (2010)
Permanent URL http://hdl.handle.net/2078.1/33977