Strictly stationary solutions of autoregressive moving average equations

Necessary and sufficient conditions for the existence of a strictly stationary solution of the equations defining an autoregressive moving average process driven by an independent and identically distributed noise sequence are determined. No moment assumptions on the driving noise sequence are made. Copyright 2010, Oxford University Press.

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Year of publication:	2010
Authors:	Brockwell, Peter J. ; Lindner, Alexander
Published in:	Biometrika. - Biometrika Trust, ISSN 0006-3444. - Vol. 97.2010, 3, p. 765-772
Publisher:	Biometrika Trust

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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