Reference : Further comments on the representation problem for stationary processes
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/2268/77758
Further comments on the representation problem for stationary processes
English
Laurent, Stéphane mailto [Université Catholique de Louvain - UCL > > > >]
2010
Statistics & Probability Letters
Elsevier Science
80
592-596
Yes (verified by ORBi)
International
0167-7152
Amsterdam
The Netherlands
[en] Standard filtrations ; Long-memory processes
[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.
IAP research network
http://hdl.handle.net/2268/77758
10.1016/j.spl.2009.12.015
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

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