Related papers: A Generalization of Stationary AR(1) Schemes
Stationary processes have been extensively studied in the literature. Their applications include modeling and forecasting numerous real life phenomena such as natural disasters, sales and market movements. When stationary processes are…
We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a power-law tail. When the model is normal, we show that the…
Let $(X _i)_{i\geq1}$ be a stationary sequence. Denote $m=\lfloor n^\alpha \rfloor, 0< \alpha < 1,$ and $ k=\lfloor n/m \rfloor,$ where $\lfloor a \rfloor$ stands for the integer part of $a.$ Set $S_{j}^\circ = \sum_{i=1}^m X_{m(j-1)+i},…
In this paper, uniformly unconditionally stable first and second order finite difference schemes are developed for kinetic transport equations in the diffusive scaling. We first derive an approximate evolution equation for the macroscopic…
In this paper we improve some existing results concerning the approximation of the distribution of extremes of a 1-dependent and stationary sequence of random variables. We enlarge the range of applicability and improve the approximation…
Given a stationary first-order autoregressive process X_t (with lag-one correlation rho satisfying |rho|<1), we examine the Central Limit Theorem for (1/n)*ln |X_1...X_n| and compute variances to high precision. Given a nonstationary…
In this paper, we give a AR$(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 prove partial regularity of stationary solutions and minimizers $u$ from a set $\Omega\subset \mathbb R^n$ to a Riemannian manifold $N$, for the functional $\int_\Omega F(x,u,|\nabla u|^2) dx$. The integrand $F$ is convex and satisfies…
Spatial unilateral autoregressive model $X_{k,\ell}=\alpha X_{k-1,\ell}+\beta X_{k,\ell-1}+\gamma X_{k-1,\ell-1}+\epsilon_{k,\ell}$ is investigated in the unit root case, that is when the parameters are on the boundary of the domain of…
We study a generalized ARCH model with liquidity given by a general stationary process. We provide minimal assumptions that ensure the existence and uniqueness of the stationary solution. In addition, we provide consistent estimators for…
We consider the one dimensional boundary driven harmonic model and its continuous version, both introduced in \cite{FGK}. By combining duality and integrability the authors of \cite{FG} obtained the invariant measures in a combinatorial…
We consider a time-varying first-order autoregressive model with irregular innovations, where we assume that the coefficient function is H\"{o}lder continuous. To estimate this function, we use a quasi-maximum likelihood based approach. A…
Strictly stationary INAR(1) ("integer-valued autoregressive processes of order 1") with Poisson innovations are "interlaced rho-mixing".
Max-stable processes are natural models for spatial extremes because they provide suitable asymptotic approximations to the distribution of maxima of random fields. In the recent past, several parametric families of stationary max-stable…
The generalization of the ARMA time series model to the multidimensional index set $\mathbb{Z}^d$, $d\ge2$, is called spatial ARMA model. The purpose of the following is to specify necessary conditions and sufficient conditions for the…
We establish several features of the stationary solution of purely explosive autoregressions of order d based on nonstandard initial values.
For a stationary sequence that is regularly varying and associated we give conditions which guarantee that partial sums of this sequence, under normalization related to the exponent of regular variation, converge in distribution to a…
In this note we correct an omission in our paper (Satheesh and Sandhya, 2005) in defining semi-selfdecomposable laws and also show with examples that the marginal distributions of a stationary AR(1) process need not even be infinitely…
We propose a new class of models specifically tailored for spatio-temporal data analysis. To this end, we generalize the spatial autoregressive model with autoregressive and heteroskedastic disturbances, i.e. SARAR(1,1), by exploiting the…
We obtain necessary and sufficient conditions for the existence of strictly stationary solutions of multivariate ARMA equations with independent and identically distributed noise. For general ARMA$(p,q)$ equations these conditions are…