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Mixing properties of ARMA processes

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  • Mokkadem, Abdelkader

Abstract

In this paper, we show that stationary vector ARMA processes are geometrically completely regular, and hence geometrically strong mixing, provided the innovations have absolutely continuous distribution with respect to Lebesgue measure.

Suggested Citation

  • Mokkadem, Abdelkader, 1988. "Mixing properties of ARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 29(2), pages 309-315, September.
    • Handle: RePEc:eee:spapps:v:29:y:1988:i:2:p:309-315
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