ARMA models with nonstationary white noise

Tomáš Cipra; Jiří Anděl

Commentationes Mathematicae Universitatis Carolinae (1985)

  • Volume: 026, Issue: 2, page 285-298
  • ISSN: 0010-2628

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Cipra, 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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  1. ANDĚL J., Statistical Analysis of Time Series, SNTL, Prague 1976 (in Czech). (1976) 
  2. GOCHBERO J. C., KREJN M. G., Introduction to Theory of Linear Non-self-adjoint Operators in Hilbert Space, Nauka, Moskva 1965 (in Russian). (1965) 
  3. MELNICHENKO G., Linear transformations of random processes, in: Statistical Problem of Control 56, Institute of Mathematics and Cybernetics, Vilnius 1982, 31-44 (in Russian). (1982) 
  4. NIEMI H., On the linear prediction problem of certain nonstationary stoohastio processes, Math. Scand. 39 (1976), 146-160. (1976) MR0426128
  5. NIEMI H., On the effect of a nonstationary noise on ARMA models, Scand. J. Statist. 10 (1983), 11-17. (1983) MR0711330
  6. RAO R. C., Linear Statistical Inference and its Applications, Wiley, New York 1973. (1973) Zbl0256.62002MR0346957
  7. 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
  8. 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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