A note on the third-order moment structure of bilinear model with non-independent shocks.
Martins, C.M. (1999)
Portugaliae Mathematica
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Displaying similar documents to “Predicting a stationary process when the correlation function is convex”
A note on the third-order moment structure of bilinear model with non-independent shocks.
Non-negative linear processes
Martin Anděl (1991)
Applications of Mathematics
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Conditions under which the linear process is non-negative are investigated in the paper. In the definition of the linear process a strict white noise is used. Explicit results are presented also for the models AR(1) and AR(2).
On geometric ergodicity and prediction in nonnegative non-linear autoregressive processes
Petr Zvára (2004)
Kybernetika
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A non-linear AR(1) process is investigated when the associated white noise is positive. A criterion is derived for the geometric ergodicity of the process. Some explicit formulas are derived for one and two steps ahead extrapolation. Influence of parameter estimation on extrapolation is studied.