Probabilistic Properties of Parametric Dual and Inverse Time Series Models Generated by ARMA Models

DOI10.1080/03610926.2014.887113zbMath1333.62210OpenAlexW2073921030MaRDI QIDQ2797844

Ahmed El Ghini

Publication date: 1 April 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.887113

zbMATH Keywords

nonlinear time seriestime reversibilityweak ARMA modelsall-pass time series modelsinverse and dual processesinverse and ordinary autocorrelations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Cites Work

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• Autoregressive and window estimates of the inverse correlation function
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
• Diagnostic Checking in ARMA Models With Uncorrelated Errors

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