Dual and inverse ARMA processes and application to time reversibility

DOI10.1016/J.CRMA.2009.11.002MaRDI QIDQ847109zbMATH OpenOpenAlexFDO

Authors Ahmed El Ghini

Publication date 12 February 2010

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2009.11.002

Mathematics Subject Classification ID

Gaussian processes (60G15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations
• Diagnostic Checking in ARMA Models With Uncorrelated Errors
• ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION
• scientific article; zbMATH DE number 3858241 (Why is no real title available?)
• INVERSE AUTOCOVARIANCES AND A MEASURE OF LINEAR DETERMINISM FOR A STATIONARY PROCESS
• Least absolute deviation estimation for all-pass time series models
• The Inverse Autocorrelations of a Time Series and Their Applications
• Time series: theory and methods.
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES

Cited in

(4)

• Inversion of Wiener-Hopf truncated operators and prediction error for continuous time ARMA processes
• Inverse exponential decay: stochastic fixed point equation and ARMA models
• Probabilistic properties of parametric dual and inverse time series models generated by ARMA models
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES

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