A Class of Antipersistent Processes
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. Copyright 2007 The Authors Journal compilation 2007 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 28 (2007)
Issue (Month): 2 (03)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782
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- Hassler, Uwe, 2012. "Impulse responses of antipersistent processes," Economics Letters, Elsevier, vol. 116(3), pages 454-456.
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