A class of antipersistent processes
A class of antipersistent processes
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DOI：
10.1111/j.1467-9892.2006.00509.x
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发表时间：
2007-03-01
影响因子：
0.9
通讯作者：
Palma, Wilfredo
中科院分区：
文献类型：
--
作者：
Bondon, Pascal;Palma, Wilfredo
我们引入了一类平稳过程，刻画了它的无穷滑动平均参数的性质。我们建立了协方差函数的渐近性质和这些过程的谱密度在零附近的性质，显示了它们的反持久性。然后，我们讨论了这类过程的无穷自回归表示的存在性，并给出了分数自回归滑动平均模型的一些结果。
We introduce a class of stationary processes characterized by the behaviour of their infinite moving average parameters. We establish the asymptotic behaviour of the covariance function and the behaviour around zero of the spectral density of these processes, showing their antipersistent character. Then, we discuss the existence of an infinite autoregressive representation for this family of processes, and we present some consequences for fractional autoregressive moving average models.