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math.ST2019
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…
math.ST2019
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…
math.ST2017★ 11 cited
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…