A note on the Berman condition

DOI10.1214/10-BJPS119MaRDI QIDQ654424zbMATH OpenOpenAlexFDO

Authors Rolf Turner, Patrick Chareka

Publication date 28 December 2011

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1003.2831

zbMATH Keywords

correlated dataARMA modelfilterextreme value distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Abstract: It is established that if a time series satisfies the Berman condition, and another related (summability) condition, the result of filtering that series through a certain type of filter also satisfies the two conditions. In particular it follows that if $X_t$ satisfies the two conditions and if $X_t$ and $a_t$ are related by an invertible ARMA model, then the $a_t$ satisfy the two conditions.

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Cites work

• scientific article; zbMATH DE number 4096647 (Why is no real title available?)
• scientific article; zbMATH DE number 3592801 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• A test for additive outliers applicable to long-memory time series
• Extremal theory for stochastic processes
• Extremes and related properties of random sequences and processes
• Limit Theorems for the Maximum Term in Stationary Sequences
• Time series: theory and methods.

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