Strictly stationary solutions of ARMA equations with fractional noise

DOI10.1111/J.1467-9892.2012.00788.XzbMATH Open1282.62206OpenAlexW1578645922MaRDI QIDQ5397934FDOQ5397934

Authors: Bernd Vollenbröker 

Publication date: 25 February 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00788.x

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zbMATH Keywords

ARIMAinfinite variancestrict stationarityARMA with fractional noise

Mathematics Subject Classification ID

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

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional ARIMA with stable innovations
• Strictly stationary solutions of autoregressive moving average equations
• Title not available (Why is that?)
• Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise
• Inequalities for the \(p\)-th moment, \(p\), \(0<p<2\), of a sum of independent random variables
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
• Estimating a change point in the long memory parameter

Cited In (8)

• Strictly stationary solutions of spatial ARMA equations
• Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise
• Strictly stationary solutions of ARMA equations in Banach spaces
• Recent results in the theory and applications of CARMA processes
• Strictly stationary solutions of multivariate ARMA and univariate ARIMA equations.
• Strictly stationary solutions of autoregressive moving average equations
• Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing
• First order autoregressive periodically correlated model in Banach spaces: existence and central limit theorem

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