Further comments on the representation problem for stationary processes

Laurent, Stéphane

doi:10.1016/j.spl.2009.12.015

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Further comments on the representation problem for stationary processes

Laurent, Stéphane

2010 • In Statistics and Probability Letters, 80, p. 592-596

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https://hdl.handle.net/2268/77758

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10.1016/j.spl.2009.12.015

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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 :

Pages :

592-596

Peer reviewed :

Peer Reviewed verified by ORBi

Additional URL :

http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6V1D-4Y0KW9P-4&_user=532038&_coverDate=04%2F15%2F2010&_rdoc=1&_fmt=high&_orig=search&_origin=search&_sort=d&_docanchor=&view=c&_searchStrId=1557036560&_rerunOrigin=google&_acct=C000026659&_version=1&_urlVersion=0&_userid=532038&md5=1b378adbadac3f0f2cf3027771f400d7&searchtype=a

Funders :

IAP research network

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since 26 November 2010

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