STATIONARITY OF THE SOLUTION OF Xt= AtXt-1+ εtAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES

DOI10.1111/j.1467-9892.1988.tb00467.xzbMath0669.62082OpenAlexW2137046337MaRDI QIDQ3823028

Mohsen Pourahmadi

Publication date: 1988

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1988.tb00467.x

zbMATH Keywords

gammatime seriesmaximum likelihoodlong-range dependencemoving average representationexponentialcorrelation structurestochastic difference equationgeometricbinary time seriesconditional least-squares estimatorGalton-Watson branching process with immigrationmixed exponentialnon-Gaussian marginalssecond-order strictly stationary solution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05)

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