A Class of Antipersistent Processes

A Class of Antipersistent Processes

.  We introduce a class of stationary processes characterized by the behaviour of their infinite moving average parameters. We establish the asymptotic behaviour of the covariance function and the behaviour around zero of the spectral density of these processes, showing their antipersistent characte...

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Veröffentlicht in:Journal of time series analysis 2007-03, Vol.28 (2), p.261-273
Hauptverfasser: Bondon, Pascal, Palma, Wilfredo
Format: Artikel
Sprache:eng
Schlagworte:
Antipersistent process
Asymptotic methods
autoregressive expansion
Density
Econometrics
FARIMA process
Mathematical analysis
moving average parameters
Primary 62M10
secondary 60G25
Statistical methods
Stochastic processes
Studies
Time series
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Beschreibung
Zusammenfassung:.  We introduce a class of stationary processes characterized by the behaviour of their infinite moving average parameters. We establish the asymptotic behaviour of the covariance function and the behaviour around zero of the spectral density of these processes, showing their antipersistent character. Then, we discuss the existence of an infinite autoregressive representation for this family of processes, and we present some consequences for fractional autoregressive moving average models.
ISSN:0143-9782
1467-9892
DOI:10.1111/j.1467-9892.2006.00509.x