Publications [#323780] of Robert L. Wolpert

Papers Published

1. Ernst, PA; Brown, LD; Shepp, L; Wolpert, RL. "Stationary Gaussian Markov processes as limits of stationary autoregressive time series." Journal of Multivariate Analysis 155 (March, 2017): 180-186. [doi]
   (last updated on 2026/01/16)

   Abstract:
   We consider the class, Cp, of all zero mean stationary Gaussian processes, {Yt:t∈(−∞,∞)} with p derivatives, for which the vector valued process {(Yt⁽⁰⁾,…,Yt^(p)):t≥0} is a p+1-vector Markov process, where Yt⁽⁰⁾=Y(t). We provide a rigorous description and treatment of these stationary Gaussian processes as limits of stationary AR(p) time series.