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Displaying similar documents to “On transformations of multivariate ARMA processes”

Non-negative linear processes

Martin Anděl (1991)

Applications of Mathematics

Similarity:

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).

Branching Processes with Immigration and Integer-valued Time Series

Dion, J., Gauthier, G., Latour, A. (1995)

Serdica Mathematical Journal

Similarity:

In this paper, we indicate how integer-valued autoregressive time series Ginar(d) of ordre d, d ≥ 1, are simple functionals of multitype branching processes with immigration. This allows the derivation of a simple criteria for the existence of a stationary distribution of the time series, thus proving and extending some results by Al-Osh and Alzaid [1], Du and Li [9] and Gauthier and Latour [11]. One can then transfer results on estimation in subcritical multitype branching processes...