Article (Scientific journals)
Further comments on the representation problem for stationary processes
Laurent, Stéphane
2010In Statistics and Probability Letters, 80, p. 592-596
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Keywords :
Standard filtrations; Long-memory processes
Abstract :
[en] 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.
Disciplines :
Mathematics
Author, co-author :
Laurent, Stéphane ;  Université Catholique de Louvain - UCL
Language :
English
Title :
Further comments on the representation problem for stationary processes
Publication date :
2010
Journal title :
Statistics and Probability Letters
ISSN :
0167-7152
Publisher :
Elsevier Science, Amsterdam, Netherlands
Volume :
80
Pages :
592-596
Peer reviewed :
Peer Reviewed verified by ORBi
Funders :
IAP research network
Available on ORBi :
since 26 November 2010

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