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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★ 2 cited
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…