Mixed-Norm Spaces and Prediction of SαS Moving Averages

Raymond Cheng and Charles B. Harris

Journal of Time Series Analysis, 2015, vol. 36, issue 6, 853-875

Abstract: type="main" xml:id="jtsa12134-abs-0001"> Suppose that Z k k = − ∞ ∞ is an i.i.d. symmetric α-stable noise, 1 > α > 2, and consider the moving average process X k k = − ∞ ∞ given by X k = ∑ j = 0 ∞ a j Z k − j . Conditions are obtained for the convergence rate of the moving average series, as well as that of the inverted (autoregressive) representation Z k = ∑ j = 0 ∞ c j X k − j . These conditions are expressed in terms of the associated function F ( z ) = ∑ j = 0 ∞ a j z j and its reciprocal belonging to certain mixed-norm spaces of functions on the open unit disc. Properties of these spaces are explored. Criteria are also derived for the rate of mixing in a certain sense.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1111/jtsa.12134 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:36:y:2015:i:6:p:853-875

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().