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An Analysis of Poisson Moving-Average Processes
Probability in the Engineering and Informational Sciences, 1997Al-Osh and Alzaid (1988,Statistical Papers29: 281–300) introduced a class of Poisson moving-average processes. In this paper, we analyze certain properties of such models. In particular, we show that the model has the property of time reversibility. Regression properties of the model are also given.
McCormick, William P., Park, YouSung
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Rényi Divergence to Compare Moving-Average Processes
2018 IEEE Statistical Signal Processing Workshop (SSP), 2018Comparing processes or models is of interest in various applications. Among the existing approaches, one of the most popular methods is to use the Kullback-Leibler (KL) divergence which is related to Shannon’s entropy. Similarly, the Renyi divergence of order α can be deduced from the Renyi entropy. When α tends to 1, it leads to the KL divergence.
Merchan, Fernando +2 more
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On the estimation of variance for autoregressive and moving average processes (Corresp.)
IEEE Transactions on Information Theory, 1986The sample variance is commonly used to estimate the variance of stationary time series. When the second-order statistics of the process are known up to a scaling factor, this estimator is generally inefficient. In the case of an autoregressive (AR) process with unknown parameters, the sample variance is shown to be asymptotically efficient.
Boaz Porat, Benjamin Friedlander
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Local time for stable moving average processes: Hölder conditions
Stochastic Processes and Their Applications, 1997 The Fourier analytic approach due to S.M. Berman is considered for a certain class of α-stable moving average processes, 1 < α ≤ 2. It is proved that the local times of such processes satisfy a uniform Hölder condition of order |Q|1 − 1α| log|Q||1α for ...
Marco Dozzi
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The Davis–Gut law for moving average processes
Statistics & Probability Letters, 2015Let \(\{Y_i ...
Liu, Xiangdong +2 more
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Modelling with Dispersed Bivariate Moving Average Processes
Journal of Time Series Econometrics, 2019Abstract This paper proposes a non-stationary bivariate integer-valued moving average of order 1 (BINMA(1)) model where the respective innovations are marginal COM-Poisson and unrelated. As opposed to other such bivariate time series model, the dependence between the series in the above is constructed via the relation between the ...
Sunecher, Yuvraj +2 more
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Central limit theorems for moving average processes*
Lithuanian Mathematical Journal, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Miao, Yu, Ge, Li, Xu, Shoufang
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Selfdecomposability of moving average fractional Lévy processes
Statistics & Probability Letters, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cohen, Serge, Maejima, Makoto
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On the empirical process of tempered moving averages
Statistics & Probability Letters, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jan Beran +3 more
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Autoregressive and Moving-average Time-series Processes
1990Characterization of time series by means of autoregressive (AR) or moving-average (MA) processes or combined autoregressive moving-average (ARMA) processes was suggested, more or less simultaneously, by the Russian statistician and economist, E. Slutsky (1927), and the British statistician G.U. Yule (1921, 1926, 1927). Slutsky and Yule observed that if
Marc Nerlove, Francis X. Diebold
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