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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This paper presents a unified framework of stationary ARMA processes for discrete-valued time series based on Pegram’s [Pegram, G.G.S., 1980. An autoregressive model for multilag markov chains. J. Appl. Probab. 17, 350–362] mixing operator. Such a stochastic operator appears to be more flexible than the currently popular thinning operator to construct Box and Jenkins’ type stationary ARMAproces...
متن کاملBayesian Blind Estimation of H-ARMA Processes
We present a bayesian method for the blind estimation of parameters in nonlinear/nongaussian models. The studied models are called H-ARMA processes. They are generated by a memoryless polynomial transformation of an ARMA process. The nonlinearities are choosen as Her-mite polynomials. After recalling the structure of those models and their main properties that have been reported in previous pub...
متن کاملOn transformations of multivariate ARMA processes
Let Xt be an /-dimensional ARMA (p, q) process. Let g: U l -> W be a measurable function. Define a process Zt by Zt = g(Xt). Generally, Z.is not an ARMA process. However, we are interested in such functions g, for which Zt is also an AR process. It is important to know the orders of the process Zt. In the most cases we find only some bounds for them. From the practical point of view, our consid...
متن کاملRecursive Identification of EIV ARMA Processes
Abstract: Easily computable recursive algorithms are proposed for estimating coefficients of A(z), C(z), and the covariance matrix Rw of wk for the multivariate ARMA process A(z)yk = C(z)wk on the basis of the noise-corrupted observations ηk ∆ = yk + ǫk. It is shown that the estimates converge to the true ones under reasonable conditions. An illustrative example is provided, and the simulation ...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1988
ISSN: 0304-4149
DOI: 10.1016/0304-4149(88)90045-2