On a Class of Z+-Valued Autoregressive Moving Average (ARMA) Processes
Keywords:stationarity, semigroup of probability generating functions, Mittag–Leffler distribution, Linnik distribution, time-reversibility
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.
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