Related papers: Explicit Form of Coefficients in any MA(2) Process
The conformal algebra provides powerful constraints, which guarantee that renormalized conformally covariant operators exist in the hypothetical conformal limit of the theory, where the $\beta$-function vanishes. Thus, in this limit also…
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We derive a closed-form expression for the finite predictor coefficients of multivariate ARMA (autoregressive moving-average) processes. The expression is given in terms of several explicit matrices that are of fixed sizes independent of…
Many applications require stochastic processes specified on two- or higher-dimensional domains; spatial or spatial-temporal modelling, for example. In these applications it is attractive, for conceptual simplicity and computational…
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For each $\lambda>0$ and every square-integrable infinitely-divisible (ID) distribution there exists at least one stationary stochastic process $t\mapsto X_t$ with the specified distribution for $X_1$ and with first-order autoregressive…
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A two-state spin system is specified by a 2 x 2 matrix A = {A_{0,0} A_{0,1}, A_{1,0} A_{1,1}} = {\beta 1, 1 \gamma} where \beta, \gamma \ge 0. Given an input graph G=(V,E), the partition function Z_A(G) of a system is defined as Z_A(G) =…
For a multivariate stationary process, we develop explicit representations for the finite predictor coefficient matrices, the finite prediction error covariance matrices and the partial autocorrelation function (PACF) in terms of the…
The class of locally stationary processes assumes that there is a time-varying spectral representation, that is, the existence of finite second moment. We propose the $\alpha$-stable locally stationary process by modifying the innovations…
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Invertible processes are central to functional time series analysis, making the estimation of their defining operators a key problem. While asymptotic error bounds have been established for specific ARMA models on $L^2[0,1]$, a general…
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