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 |
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| container_end_page | 273 |
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| container_issue | 2 |
| container_start_page | 261 |
| container_title | Journal of time series analysis |
| container_volume | 28 |
| creator | Bondon, Pascal Palma, Wilfredo |
| description | . 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. |
| doi_str_mv | 10.1111/j.1467-9892.2006.00509.x |
| format | Article |
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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.</description><identifier>ISSN: 0143-9782</identifier><identifier>EISSN: 1467-9892</identifier><identifier>DOI: 10.1111/j.1467-9892.2006.00509.x</identifier><language>eng</language><publisher>Oxford, UK: Blackwell Publishing Ltd</publisher><subject>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</subject><ispartof>Journal of time series analysis, 2007-03, Vol.28 (2), p.261-273</ispartof><rights>2007 The Authors Journal compilation 2007 Blackwell Publishing Ltd.</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c5929-6090667f4a3c9872d0a3d00fd66c22da870f0bba9ca2d7b75728490edca370e03</citedby><cites>FETCH-LOGICAL-c5929-6090667f4a3c9872d0a3d00fd66c22da870f0bba9ca2d7b75728490edca370e03</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.1111%2Fj.1467-9892.2006.00509.x$$EPDF$$P50$$Gwiley$$H</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.1111%2Fj.1467-9892.2006.00509.x$$EHTML$$P50$$Gwiley$$H</linktohtml><link.rule.ids>314,780,784,1417,4008,27924,27925,45574,45575</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/blajtsera/v_3a28_3ay_3a2007_3ai_3a2_3ap_3a261-273.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Bondon, Pascal</creatorcontrib><creatorcontrib>Palma, Wilfredo</creatorcontrib><title>A Class of Antipersistent Processes</title><title>Journal of time series analysis</title><description>. 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.</description><subject>Antipersistent process</subject><subject>Asymptotic methods</subject><subject>autoregressive expansion</subject><subject>Density</subject><subject>Econometrics</subject><subject>FARIMA process</subject><subject>Mathematical analysis</subject><subject>moving average parameters</subject><subject>Primary 62M10</subject><subject>secondary 60G25</subject><subject>Statistical methods</subject><subject>Stochastic processes</subject><subject>Studies</subject><subject>Time series</subject><issn>0143-9782</issn><issn>1467-9892</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2007</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqNUcGO0zAUtBBIlIV_iEDilvBsJ37xgUMpsLBawUosy_HJdRyRkDZZO4X277EJ6oETlp5nJM-MnsaMZRwKHs-rvuClwlzXWhQCQBUAFeji-ICtzg8P2Qp4KXONtXjMnoTQA3BVIl-xF-tsM5gQsrHN1vu5m5wPXZjdfs5u_GhdCC48ZY9aMwT37C9esK_v391uPuTXny8_btbXua200LkCDUphWxppdY2iASMbgLZRygrRmBqhhe3WaGtEg1usUNSlBtdYIxEcyAv2csmd_Hh_cGGmXResGwazd-MhkFTIUcokfP6PsB8Pfh93IwFCS1GWVRTVi8j6MQTvWpp8tzP-RBwoVUc9pYYoNUSpOvpTHR2j9Wqxejc5e_ZtB9PPwXlDP0kaUcfrlAgARugSjTMlVJwESvo-72LY6yXsVze4038vQVe3X9aRRX---NO3HM9-43-QQokVfft0SfKuvnuj3yLdyN_bNpp_</recordid><startdate>200703</startdate><enddate>200703</enddate><creator>Bondon, Pascal</creator><creator>Palma, Wilfredo</creator><general>Blackwell Publishing Ltd</general><general>Wiley Blackwell</general><scope>BSCLL</scope><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope><scope>JQ2</scope></search><sort><creationdate>200703</creationdate><title>A Class of Antipersistent Processes</title><author>Bondon, Pascal ; Palma, Wilfredo</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c5929-6090667f4a3c9872d0a3d00fd66c22da870f0bba9ca2d7b75728490edca370e03</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2007</creationdate><topic>Antipersistent process</topic><topic>Asymptotic methods</topic><topic>autoregressive expansion</topic><topic>Density</topic><topic>Econometrics</topic><topic>FARIMA process</topic><topic>Mathematical analysis</topic><topic>moving average parameters</topic><topic>Primary 62M10</topic><topic>secondary 60G25</topic><topic>Statistical methods</topic><topic>Stochastic processes</topic><topic>Studies</topic><topic>Time series</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Bondon, Pascal</creatorcontrib><creatorcontrib>Palma, Wilfredo</creatorcontrib><collection>Istex</collection><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Computer Science Collection</collection><jtitle>Journal of time series analysis</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Bondon, Pascal</au><au>Palma, Wilfredo</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A Class of Antipersistent Processes</atitle><jtitle>Journal of time series analysis</jtitle><date>2007-03</date><risdate>2007</risdate><volume>28</volume><issue>2</issue><spage>261</spage><epage>273</epage><pages>261-273</pages><issn>0143-9782</issn><eissn>1467-9892</eissn><abstract>. 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.</abstract><cop>Oxford, UK</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1111/j.1467-9892.2006.00509.x</doi><tpages>13</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0143-9782 |
| ispartof | Journal of time series analysis, 2007-03, Vol.28 (2), p.261-273 |
| issn | 0143-9782 1467-9892 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_36717330 |
| source | Access via Wiley Online Library; RePEc |
| subjects | 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 |
| title | A Class of Antipersistent Processes |
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