Time changes and stationarity issues for extended scalar autoregressive models

DOI10.1016/j.jspi.2023.106112OpenAlexW4386989152MaRDI QIDQ6195516

Valérie Girardin, Rachid Senoussi

Publication date: 14 March 2024

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2023.106112

zbMATH Keywords

autoregressive processesweak stationaritytime changeautoregressive sequences

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Recent results in the theory and applications of CARMA processes
• Spectral density estimation from random sampling for multiplicative stationary processes
• Calcul stochastique et problèmes de martingales
• Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations
• The generalized linear chirp process
• Time-frequency analysis -- \(G(\lambda)\)-stationary processes
• Quantum mechanics: Fundamentals
• Estimating deformations of stationary processes
• Reducing non-stationary random fields to stationarity and isotropy using a space deformation
• The quantum structure of spacetime of the Planck scale and quantum fields
• Reducing non-stationary stochastic processes to stationarity by a time deformation
• ON A CLASS OF NONSTATIONARY PROCESSES
• Nonstationary Data Analysis by Time Deformation
• Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes

This page was built for publication: Time changes and stationarity issues for extended scalar autoregressive models