New variance ratio tests to identify random walk from the general mean reversion model.
Non-negative linear processes
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).
Nonnegative multivariate processes
Nonparametric density estimators based on nonstationary absolutely regular random sequences.
Nonparametric estimation of the ratios of derivatives of a multivariate distribution density from dependent observations.
Note on approximate non-Gaussian filtering with nonlinear observation relation
Note on inappropriate trend and seasonal elimination