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