11 citations · 11 across the 2 of their papers we have counts for
5 papers
Modeling and estimation of multivariate discrete and continuous time stationary processes
Marko Voutilainen
In this paper, we give a AR type of characterization covering all multivariate strictly stationary processes indexed by the set of integers. Consequently, we derive continuous…
Vector-valued Generalised Ornstein-Uhlenbeck Processes
Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen +2
Generalisations of the Ornstein-Uhlenbeck process defined through Langevin equation such as fractional Ornstein-Uhlenbeck processes, have recently receiv…
On generalized ARCH model with stationary liquidity
Pauliina Ilmonen, Soledad Torres, Ciprian Tudor +2
We study a generalized ARCH model with liquidity given by a general stationary process. We provide minimal assumptions that ensure the existence and uniqueness of the stationary so…
Note on AR(1)-characterisation of stationary processes and model fitting
Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen
It was recently proved that any strictly stationary stochastic process can be viewed as an autoregressive process of order one with coloured noise. Furthermore, it was proved that,…
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, sa…