ARMA models with nonstationary white noise
Commentationes Mathematicae Universitatis Carolinae (1985)
- Volume: 026, Issue: 2, page 285-298
- ISSN: 0010-2628
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topCipra, Tomáš, and Anděl, Jiří. "ARMA models with nonstationary white noise." Commentationes Mathematicae Universitatis Carolinae 026.2 (1985): 285-298. <http://eudml.org/doc/17381>.
@article{Cipra1985,
author = {Cipra, Tomáš, Anděl, Jiří},
journal = {Commentationes Mathematicae Universitatis Carolinae},
keywords = {nonstationary white noise; stationarity; ARMA(p,q) processes; general covariance structure; almost white noise},
language = {eng},
number = {2},
pages = {285-298},
publisher = {Charles University in Prague, Faculty of Mathematics and Physics},
title = {ARMA models with nonstationary white noise},
url = {http://eudml.org/doc/17381},
volume = {026},
year = {1985},
}
TY - JOUR
AU - Cipra, Tomáš
AU - Anděl, Jiří
TI - ARMA models with nonstationary white noise
JO - Commentationes Mathematicae Universitatis Carolinae
PY - 1985
PB - Charles University in Prague, Faculty of Mathematics and Physics
VL - 026
IS - 2
SP - 285
EP - 298
LA - eng
KW - nonstationary white noise; stationarity; ARMA(p,q) processes; general covariance structure; almost white noise
UR - http://eudml.org/doc/17381
ER -
References
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- NIEMI H., On the linear prediction problem of certain nonstationary stoohastio processes, Math. Scand. 39 (1976), 146-160. (1976) MR0426128
- NIEMI H., On the effect of a nonstationary noise on ARMA models, Scand. J. Statist. 10 (1983), 11-17. (1983) MR0711330
- RAO R. C., Linear Statistical Inference and its Applications, Wiley, New York 1973. (1973) Zbl0256.62002MR0346957
- TJØSTHEIM D., THOMAS J.B., Some properties and examples of random processes that are almost wide sense stationary, IEEE Trans. Inf. Theory 21 (1975), 257-262. (1975) MR0386004
- TYSSEDAL J., TJØSTHEIM D., Autoregressive processes with a time dependent variance, J. Time Series Analysis 3 (1982), 209-217. (1982) MR0695232
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