2015
DOI: 10.1111/jtsa.12134
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Mixed‐Norm Spaces and Prediction of SαS Moving Averages

Abstract: Suppose that {}Zkk=−∞∞ is an i.i.d. symmetric α‐stable noise, 1 < α < 2, and consider the moving average process {}Xkk=−∞∞ given by Xk=∑j=0∞ajZk−j. Conditions are obtained for the convergence rate of the moving average series, as well as that of the inverted (autoregressive) representation Zk=∑j=0∞cjXk−j. These conditions are expressed in terms of the associated function F(z)=∑j=0∞ajzj and its reciprocal belonging to certain mixed‐norm spaces of functions on the open unit disc. Properties of these spaces … Show more

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Cited by 8 publications
(1 citation statement)
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“…These processes include α-stable processes with α ∈ (1, 2], L p -harmonizable processes, and strictly stationary L p processes. The orthogonality condition is connected to associated prediction problems, Wold-type decompositions, and moving-average representations [7,10,11,12,13,14,27].…”
Section: Banach Space Geometrymentioning
confidence: 99%
“…These processes include α-stable processes with α ∈ (1, 2], L p -harmonizable processes, and strictly stationary L p processes. The orthogonality condition is connected to associated prediction problems, Wold-type decompositions, and moving-average representations [7,10,11,12,13,14,27].…”
Section: Banach Space Geometrymentioning
confidence: 99%