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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