Note on AR(1)-characterisation of stationary processes and model fitting

Abstract: It was recently proved that any strictly stationary stochastic process can be viewed as an autoregressive process of order one with coloured noise. Furthermore, it was proved that, using this characterisation, one can define closed form estimators for the model parameter based on autocovariance estimators for several different lags. However, this estimation procedure may fail in some special cases. In this article we provide a detailed analysis of these special cases. In particular, we prove that these cases correspond to degenerate processes.