38 citations · 61 across the 10 of their papers we have counts for
4 papers · 1 filter
New M-estimator of the leading principal component
Joni Virta, Una Radojicic, Marko Voutilainen
We study the minimization of the non-convex and non-differentiable objective function in . In particula…
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 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…