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自回归移动平均方程的严格平稳解
Necessary and sufficient conditions for the existence of a strictly stationary solution of the equations defining an autoregressive moving average process driven by an independent and identically distributed noise sequence are determined. No moment assumptions on the driving noise sequence are made.
正则非遍历模型的渐近条件推断及其自回归应用
A conditional limit theorem is derived for a certain class of stochastic processes whose distributions constitute a nonergodic family. The limit theorem allows us to study the asymptotic behaviour under the conditional model of some standard statistical procedures by making use of results for ergodic families. Explosive Gaussian autoregressive processes are studied in some detail. Here the conditional process is shown to be a nonexplosive Gaussian autoregression bearing a…