On the Unique Representation of Non-Gaussian Linear Processes
نویسندگان
چکیده
منابع مشابه
On the unique representation of non-Gaussian multivariate linear processes
In contrast to the fact that Gaussian linear processes generally have nonunique moving-average representations, non-Gaussian univariate linear processes have been shown to admit essentially unique moving-average representation, under various regularity conditions. We extend the one-dimensional result to multivariate processes. Under various conditions on the intercomponent dependence structure ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1992
ISSN: 0090-5364
DOI: 10.1214/aos/1176348677