arXiv subjects

Felix Spangenberg

Publications and source records attributed to Felix Spangenberg.

2 recordsLinked to original sources

arXiv2015

Limit theorems for the sample autocovariance of a continuous-time moving average process with long memory

We examine the asymptotic behaviour of the sample autocovariance in a continuous-time moving average model with long-range dependence. We show that it is either asymptotically Rosenblatt distributed or stable distributed. This shows that results by Horváth and Kokoszka for discrete-time moving average processes with long memory also hold for continuous-time moving average processes.

math.PR↗

arXiv2012

Strictly stationary solutions of ARMA equations in Banach spaces

We obtain necessary and sufficient conditions for the existence of strictly stationary solutions of ARMA equations in Banach spaces with independent and identically distributed noise under certain assumptions. First, we obtain conditions for ARMA(1,$q$) equations by excluding zero and the unit circle from the spectrum of the operator of the AR part. We then extend this to ARMA($p$,$q$) equations. Finally, we discuss various examples.

math.PR↗