Strictly stationary solutions of autoregressive moving average equations

• 成果类型: Article
• 署名作者: Brockwell, Peter J.; Lindner, Alexander
• 署名单位: Colorado State University System; Colorado State University Fort Collins; Braunschweig University of Technology
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asq034
• 发表日期: 2010
• 页码: 765772
• 关键词: arma processes; infinite

摘要

Necessary and sufficient conditions for the existence of a strictly stationary solution of the equations defining an autoregressive moving average process driven by an independent and identically distributed noise sequence are determined. No moment assumptions on the driving noise sequence are made.