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Estimating the periodicity of a stationary time series via fitting a second order stationary autoregressive (AR(2)) model has been initiated by the seminal paper of Yule(1927).. We investigate properties of this procedure when applied to a…
In this paper we suggest two continuous-time models which exhibit an autoregressive structure. We obtain existence and uniqueness results and study the structure of the solution processes. One of the models, which corresponds to general…
This paper describes a new method for generating stationary integer-valued time series from renewal processes. We prove that if the lifetime distribution of renewal processes is nonlattice and the probability generating function is…
Linear autoregressive models serve as basic representations of discrete time stochastic processes. Different attempts have been made to provide non-linear versions of the basic autoregressive process, including different versions based on…
When considering the problem of forecasting a continuous-time stochastic process over an entire time-interval in terms of its recent past, the notion of Autoregressive Hilbert space processes (ARH) arises. This model can be seen as a…
Horadam sequences and their partial sums are computed via generating functions. The results are as simple as possible.
This paper addresses the prediction of stationary functional time series. Existing contributions to this problem have largely focused on the special case of first-order functional autoregressive processes because of their technical…
In this paper we consider multivariate time series obtained as solution to multidimensional nonlinear stochastic difference equations whose coefficients are allowed to be locally degenerate and to present discontinuities. We provide simple…
The paper examines the problem of representing the dynamics of low order autoregressive (AR) models with time varying (TV) coefficients. The existing literature computes the forecasts of the series from a recursion relation. Instead, we…
In this paper, we give a AR$(1)$ type of characterization covering all multivariate strictly stationary processes indexed by the set of integers. Consequently, we derive continuous time algebraic Riccati equations for the parameter matrix…
We extend the notion of cointegration for time series taking values in a potentially infinite dimensional Banach space. Examples of such time series include stochastic processes in C[0,1] equipped with the supremum distance and those in a…
It was recently proved that any strictly stationary stochastic process can be viewed as an autoregressive process of order one with coloured noise. Furthermore, it was proved that, using this characterisation, one can define closed form…
New iterative methods for solving linear equations are presented that are easy to use, generalize good existing methods, and appear to be faster. The new algorithms mix two kinds of linear recurrence formulas. Older methods have either high…
In this paper the approach to obtaining nonrecurrent formulas for some recursively defined sequences is illustrated. The most interesting result in the paper is the formula for the solution of quadratic map-like recurrence. Also, some…
An extension of the RINAR(1) process for modelling discrete-time dependent counting processes is considered. The model RINAR(p) investigated here is a direct and natural extension of the real AR(p) model. Compared to classical INAR(p)…
The article contains an overview over locally stationary processes. At the beginning time varying autoregressive processes are discussed in detail - both as as a deep example and an important class of locally stationary processes. In the…
Linear processes on functional spaces were born about fifteen years ago. And this original topic went through the same fast development as the other areas of functional data modeling such as PCA or regression. They aim at generalizing to…
In this study, we investigate Horadam sequence as generalization of linear recurrence equations of order two. By the aid of this sequence we obtain a new generalization for sequences of dual quaternions and dual octonions. Moreover, we…
The principal aim of this article is to establish an iteration method on the space of resurgent functions. We discuss endless continuability of iterated convolution products of resurgent functions and derive their estimates developing the…
In this paper we find closed form for the generating function of powers of any non-degenerate second-order recurrence sequence, completing a study begun by Carlitz and Riordan in 1962. Moreover, we generalize a theorem of Horadam on partial…