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On invertibility of a random coefficient moving average model

Tomáš Marek (2005)

Kybernetika

A linear moving average model with random coefficients (RCMA) is proposed as more general alternative to usual linear MA models. The basic properties of this model are obtained. Although some model properties are similar to linear case the RCMA model class is too general to find general invertibility conditions. The invertibility of some special examples of RCMA(1) model are investigated in this paper.

On m-dimensional stochastic processes in Banach spaces.

Rodolfo De Dominicis, Elvira Mascolo (1981)

Stochastica

In the present paper the authors prove a weak law of large numbers for multidimensional processes of random elements by means of the random weighting. The results obtained generalize those of Padgett and Taylor.

On measure-preserving transformations and doubly stationary symmetric stable processes

A. Gross, A. Weron (1995)

Studia Mathematica

In a 1987 paper, Cambanis, Hardin and Weron defined doubly stationary stable processes as those stable processes which have a spectral representation which is itself stationary, and they gave an example of a stationary symmetric stable process which they claimed was not doubly stationary. Here we show that their process actually had a moving average representation, and hence was doubly stationary. We also characterize doubly stationary processes in terms of measure-preserving regular set isomorphisms...

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