Mixing properties of ARMA processes

Abdelkader Mokkadem

Stochastic Processes and their Applications, 1988, vol. 29, issue 2, 309-315

Abstract: In this paper, we show that stationary vector ARMA processes are geometrically completely regular, and hence geometrically strong mixing, provided the innovations have absolutely continuous distribution with respect to Lebesgue measure.

Keywords: ARMA; process; Markov; chain; geometric; ergodicity; complete; regularity (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (33)

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