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.
On a simple estimate of correlations of stationary random sequences
Jan Hurt (1973)
Aplikace matematiky
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