TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES (Q4021564)
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scientific article; zbMATH DE number 95617
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| English | TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES |
scientific article; zbMATH DE number 95617 |
Statements
TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES (English)
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16 January 1993
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ARMA processes
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characterizations of Gau Gaussian distribution
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fractional differencing
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noncausal
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causal autoregressive moving-average models
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Gaussian processes
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general linear processes
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non-Gaussian fractionally integrated ARMA process
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time-reversibility
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innovations sequence
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one-step prediction residuals
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i.i.d. non-Gaussian noise
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deconvolution problems
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independent noise
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0.8063514232635498
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0.7925365567207336
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0.7783631086349487
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0.7744333148002625
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