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Sufficient Statistics For Stationary Discrete‐Time Gaussian Random Processes

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  • Bradley W. Dickinson

Abstract

. It is known that the distribution of N samples of a stationary Gaussian autoregressive process admits a sufficient statistic whose dimension is independent of N. We show that this property depends not on the absence of spectral zeros in autoregressive models, but rather on the fact that the class of models has a fixed set of spectral zeros.

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  • Bradley W. Dickinson, 1982. "Sufficient Statistics For Stationary Discrete‐Time Gaussian Random Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 165-168, May.
    • Handle: RePEc:bla:jtsera:v:3:y:1982:i:3:p:165-168
    DOI: 10.1111/j.1467-9892.1982.tb00338.x
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