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ON THE EXISTENCE OF THE STATIONARY AND ERGODIC NEAR( p ) MODEL
Author(s) -
Chan Kungsik
Publication year - 1988
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1988.tb00473.x
Subject(s) - ergodic theory , mathematics , sequence (biology) , stationary ergodic process , exponential function , stationary process , pure mathematics , stationary sequence , exponential growth , mathematical analysis , statistical physics , combinatorics , statistics , stochastic process , invariant measure , physics , genetics , biology
. The NEAR(2) model proposed by Lawrance and Lewis in 1985 is generalized to the NEAR( p ) model. A necessary and sufficient condition for the existence of an ‘innovation’ sequence and a stationary ergodic process satisfying the NEAR( p ) model is derived. It is shown that the ‘innovation’ sequence is distributed as a mixture of exponentials.