A characterization problem in stationary time series

DOI10.1214/AOS/1176345805zbMath0488.62066OpenAlexW2046467394MaRDI QIDQ1166219

Eric V. Slud

Publication date: 1982

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345805

zbMATH Keywords

characterizationstationary time seriesnonlinear predictiongeneralized autoregressive process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Characteristic functions; other transforms (60E10) Characterization and structure theory of statistical distributions (62E10)

Related Items (2)

Linear/nonlinear forms and the normal law: Characterization by high order correlations ⋮ Simulation of a stationary autoregression: A characterization of the normal distribution

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