Basic properties and prediction of max-ARMA processes
نویسندگان
چکیده
منابع مشابه
Nearly Nonstationary Arma Processes: Second Order Properties
Second order properties of nearly nonstationary ARMA processes are investigated in the cases when the autoregressive polynomial equation has (i) a real root close to 1; (ii) a real root close to -1; (iii) a pair of complex roots close to the unit circle. The effect of the closeness to the unit circle of the ARMA poles on its covariance and spectral density functions is considered. The obtained ...
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15 صفحه اولErgodic Properties of Max–Infinitely Divisible Processes
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 1989
ISSN: 0001-8678,1475-6064
DOI: 10.1017/s0001867800019054