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A Class of Antipersistent Processes
Author(s) -
Bondon Pascal,
Palma Wilfredo
Publication year - 2007
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.1467-9892.2006.00509.x
Subject(s) - mathematics , autoregressive model , class (philosophy) , covariance , covariance function , star model , representation (politics) , character (mathematics) , autoregressive–moving average model , function (biology) , moving average , stationary process , statistical physics , econometrics , statistics , autoregressive integrated moving average , time series , physics , geometry , artificial intelligence , evolutionary biology , politics , biology , computer science , law , political science
. We introduce a class of stationary processes characterized by the behaviour of their infinite moving average parameters. We establish the asymptotic behaviour of the covariance function and the behaviour around zero of the spectral density of these processes, showing their antipersistent character. Then, we discuss the existence of an infinite autoregressive representation for this family of processes, and we present some consequences for fractional autoregressive moving average models.