On the unique representation of non-Gaussian linear processes

DOI10.1214/AOS/1176348677zbMATH Open0751.60036OpenAlexW2061379943MaRDI QIDQ1193373FDOQ1193373

Authors: Qiansheng Cheng 

Publication date: 27 September 1992

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348677

Recommendations

• Estimating linear representations of nonlinear processes
• Representations and regularity of Gaussian processes
• A topic on noncanonical representations of Gaussian processes
• Topics on noncanonical representations of Gaussian processes
• scientific article; zbMATH DE number 3862148
• Remarks on a noncanonical representation for a stationary Gaussian process
• scientific article; zbMATH DE number 4115647
• scientific article; zbMATH DE number 15134

zbMATH Keywords

non-Gaussian linear processesuniqueness of linear representations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Cited In (8)

• Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
• Title not available (Why is that?)
• Misspecification of noncausal order in autoregressive processes
• On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes
• When the bispectrum is real-valued
• Title not available (Why is that?)
• Noncausal autoregressive model in application to Bitcoin/USD exchange rates
• On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series

This page was built for publication: On the unique representation of non-Gaussian linear processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1193373)