A note on the Berman condition

DOI10.1214/10-BJPS119zbMATH Open1229.62127arXiv1003.2831OpenAlexW2964285275MaRDI QIDQ654424FDOQ654424

Authors: Rolf Turner, Patrick Chareka 

Publication date: 28 December 2011

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Abstract: It is established that if a time series satisfies the Berman condition, and another related (summability) condition, the result of filtering that series through a certain type of filter also satisfies the two conditions. In particular it follows that if $X_t$ satisfies the two conditions and if $X_t$ and $a_t$ are related by an invertible ARMA model, then the $a_t$ satisfy the two conditions.

Full work available at URL: https://arxiv.org/abs/1003.2831

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zbMATH Keywords

correlated dataARMA modelfilterextreme value distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites Work

• Time series: theory and methods.
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• Extremal theory for stochastic processes
• A test for additive outliers applicable to long-memory time series
• Limit Theorems for the Maximum Term in Stationary Sequences
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