Strictly stationary solutions of spatial ARMA equations

DOI10.1007/S10463-014-0500-YMaRDI QIDQ263264zbMATH OpenOpenAlexFDO

Authors Martin Drapatz

Publication date 4 April 2016

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

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

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)

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.

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Cited in

(14)

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• scientific article; zbMATH DE number 218660 (Why is no real title available?)
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• Strict stationarity of generalized autoregressive processes
• Autocovariance varieties of moving average random fields
• Principal Component Analysis of Spatially Indexed Functions
• Non-stationary spatial autoregressive modeling for the prediction of lattice data
• Strictly stationary solutions of multivariate ARMA and univariate ARIMA equations.
• Strictly stationary solutions of autoregressive moving average equations
• Lévy-driven causal CARMA random fields
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