On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes

DOI10.1111/JTSA.12139zbMath1330.62330OpenAlexW1755189647MaRDI QIDQ3452746

Christian Gouriéroux, Jean-Michel Zakoian

Publication date: 13 November 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/54907/1/MPRA_paper_54907.pdf

zbMATH Keywords

identificationlinear processdomain of attraction\(\alpha\)-stable distributioninfinite moving averagemixed causal/noncausal process

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07)

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• On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
• Miscellanea. On time-reversibility of linear processes
• A note on time-reversibility of multivariate linear processes

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