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Anděl, Martin
Non-negative linear processes. (English). Applications of Mathematics, vol. 36 (1991), issue 4, pp. 277-283
MSC: 60G10, 62M10 | MR 1113951 | Zbl 0737.62073 | DOI: 10.21136/AM.1991.104466
Keywords:
autoregressive model; linear process; non-negative process; strict white noise
Summary:
Conditions under which the linear process is non-negative are investigated in the paper. In the definition of the linear process a strict white noise is used. Explicit results are presented also for the models AR(1) and AR(2).
References:
[1] J. Anděl: Statistical Analysis of Time Series. (Czech). SNTL Praha 1976.
[2] J. Anděl: AR(1) processes with given moments of marginal distribution. Kybernetika 25 (1989), 337-347. MR 1024709 | Zbl 0701.62087
[3] J. Anděl V. Dupač: An extension of the Borel lemma. CMUC 32 (1989), 405-407. MR 1014141
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