Stable mixed moving averages |
| |
| Authors: | Donatas Surgailis Jan Rosinski V Mandrekar Stamatis Cambanis |
| |
| Institution: | (1) Center for Stochastic Processes, Department of Statistics, University of North Carolina, 27599-3260 Chapel Hill, NC, USA;(2) Present address: Institute of Mathematics and Informatics, Lithuanian Academy of Sciences, 2600 Vilnius, Lithuania;(3) Present address: Department of Mathematics, University of Tennessee, 37996 Knoxville, TN, USA;(4) Present address: Department of Statistics and Probability, Michigan State University, 48824 East Lansing, MI, USA |
| |
| Abstract: | Summary The class of (non-Gaussian) stable moving average processes is extended by introducing an appropriate joint randomization of the filter function and of the stable noise, leading to stable mixed moving averages. Their distribution determines a certain combination of the filter function and the mixing measure, leading to a generalization of a theorem of Kanter (1973) for usual moving averages. Stable mixed moving averages contain sums of independent stable moving averages, are ergodic and are not harmonizable. Also a class of stable mixed moving averages is constructed with the reflection positivity property.Research supported by AFSOR Contract 91-0030Research also supported by ARO DAAL-91-G-0176Research also supported by AFOSR 90-0168Research also supported by ONR N00014-91-J-0277 |
| |
| Keywords: | 60G10 60B05 |
| 本文献已被 SpringerLink 等数据库收录！ |
|
