A STOCHASTIC PROCESS THAT IS AUTOREGRESSIVE IN TWO DIRECTIONS OF TIME

L. de Haan

Statistica Neerlandica, 1986, vol. 40, issue 1, 39-45

Abstract: A continuous time stationary process is discussed that is maxautoregressive in one direction of time and sum–autoregressive in the other direction. A discrete time version of the process was discussed in Chemick (1981). A related continuous time process is discussed in Weiss (1980).

Date: 1986
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