Strictly stationary solutions of spatial ARMA equations

DOI10.1007/S10463-014-0500-YzbMATH Open1435.62321arXiv1310.4676OpenAlexW2069204478MaRDI QIDQ263264FDOQ263264

Authors: Martin Drapatz 

Publication date: 4 April 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Abstract: The generalization of the ARMA time series model to the multidimensional index set $mathbb{Z}^d$, $dge2$, is called spatial ARMA model. The purpose of the following is to specify necessary conditions and sufficient conditions for the existence of strictly stationary solutions of the ARMA equations when the driving noise is i.i.d. Two different classes of strictly stationary solutions are studied, solutions of causal and non-causal models. For the special case of a first order model on $mathbb{Z}^2$ conditions are obtained, which are simultaneously necessary and sufficient.

Full work available at URL: https://arxiv.org/abs/1310.4676

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zbMATH Keywords

causalityrandom fieldsspatial ARMA modelstrict stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random fields; image analysis (62M40) Stationary stochastic processes (60G10)

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Cited In (12)

• Autocovariance varieties of moving average random fields
• Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise
• Non-stationary spatial autoregressive modeling for the prediction of lattice data
• Strict stationarity of generalized autoregressive processes
• Title not available (Why is that?)
• Lévy-driven causal CARMA random fields
• Strictly stationary solutions of multivariate ARMA and univariate ARIMA equations.
• Estimating 2-D GARCH models by quasi-maximum of likelihood
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• Strictly stationary solutions of autoregressive moving average equations
• Title not available (Why is that?)
• Principal Component Analysis of Spatially Indexed Functions

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