A class of antipersistent processes

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dc.contributor.authorBondon, Pascal
dc.contributor.authorPalma, Wilfredo
dc.date.accessioned2024-01-10T13:10:49Z
dc.date.available2024-01-10T13:10:49Z
dc.date.issued2007
dc.description.abstractWe 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.
dc.fechaingreso.objetodigital2024-05-09
dc.format.extent13 páginas
dc.fuente.origenWOS
dc.identifier.doi10.1111/j.1467-9892.2006.00509.x
dc.identifier.eissn1467-9892
dc.identifier.issn0143-9782
dc.identifier.urihttps://doi.org/10.1111/j.1467-9892.2006.00509.x
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/77941
dc.identifier.wosidWOS:000244278000005
dc.information.autorucMatemática;Palma W;S/I;100091
dc.issue.numero2
dc.language.isoen
dc.nota.accesocontenido parcial
dc.pagina.final273
dc.pagina.inicio261
dc.publisherWILEY
dc.revistaJOURNAL OF TIME SERIES ANALYSIS
dc.rightsacceso restringido
dc.subjectantipersistent process
dc.subjectFARIMA process
dc.subjectmoving average parameters
dc.subjectautoregressive expansion
dc.subjectPARTIAL AUTOCORRELATION FUNCTIONS
dc.subjectFRACTIONAL ARIMA
dc.subjectLONG-MEMORY
dc.subjectSERIES
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleA class of antipersistent processes
dc.typeartículo
dc.volumen28
sipa.codpersvinculados100091
sipa.indexWOS
sipa.indexScopus
sipa.trazabilidadCarga SIPA;09-01-2024
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