On permissible correlations for locally correlated stationary processes

Every second-order stationary process with index set {0, Â±1, Â±2, ...} and zero autocorrelations at lags greater than one can be represented as a causal moving average of order one. On the other hand, there may not be a finite-order moving average representation of a stationary process which is indexed by the two-dimensional integer lattice and which has zero autocorrelations when at least one lag is greater than one. We investigate such processes.

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Year of publication:	1995
Authors:	Donahue, Rafe M. J. ; Brockwell, Peter J. ; Davis, Richard A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 22.1995, 1, p. 49-53
Publisher:	Elsevier
Keywords:	Spatial process Moving-average process Spatial correlation Spectral density

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313985