On a Class of Z+-Valued Autoregressive Moving Average (ARMA) Processes

Emad-Eldin A. A. Aly; Nadjib Bouzar

doi:10.57805/revstat.v6i2.60

On a Class of Z+-Valued Autoregressive Moving Average (ARMA) Processes

Authors

Emad-Eldin A. A. Aly Kuwait University
Nadjib Bouzar University of Indianapolis

DOI:

https://doi.org/10.57805/revstat.v6i2.60

Keywords:

stationarity, semigroup of probability generating functions, Mittag–Leffler distribution, Linnik distribution, time-reversibility

Abstract

A convolution semigroup of probability generating functions and its related operator ⊙F are used to construct a class of stationary Z₊-valued autoregressive moving average (ARMA) processes. Several distributional and regression properties are obtained. A number of ARMA processes with specific innovation sequences are presented.

Downloads

REVSTAT2008v6n2_1

Published

2008-06-24

How to Cite

A. A. Aly , E.-E., & Bouzar , N. (2008). On a Class of Z+-Valued Autoregressive Moving Average (ARMA) Processes. REVSTAT-Statistical Journal, 6(2), 101–121. https://doi.org/10.57805/revstat.v6i2.60