Mixed-Norm Spaces and Prediction of SaS Moving Averages
Document Type
Article
Publication Date
2015
DOI
10.1111/jtsa.12134
Publication Title
Journal of Time Series Analysis
Volume
36
Pages
853–875
Abstract
Given an i.i.d. symmetric-stable noise, consider the one-sided moving average. Conditions are given for the convergence rate of the moving average, as well as that of the inverted (autoregressive) representation. These conditions are expressed in terms of a generating function and its reciprocal belonging to certain mixed-norm spaces of functions on the open unit disk. Properties of these spaces are explored. Criteria are also derived for the rate of strong mixing in a certain sense.
Original Publication Citation
Cheng, R., & Harris, C. B. (2015). Mixed‐norm spaces and prediction of SαS moving averages. Journal of Time Series Analysis, 36(6), 853-875. https://doi.org/10.1111/jtsa.12134
Repository Citation
Cheng, Raymond and Harris, Charles B., "Mixed-Norm Spaces and Prediction of SaS Moving Averages" (2015). Mathematics & Statistics Faculty Publications. 286.
https://digitalcommons.odu.edu/mathstat_fac_pubs/286