非高斯平稳时间序列的独立同分布随机变量移动平均表示的唯一性

The uniqueness of moving average representations with independent and identically distributed random variables for non-Gaussian stationary time series

Biometrika · 1986
被引 10
ABS 4

中文导读

研究了全谱非高斯平稳序列最多只能有一种表示为独立同分布随机变量的移动平均,且该随机变量具有所有阶有限矩。

Abstract

Full-spectrum, non-Gaussian stationary series can have at most one representation as a moving average of independent and identically distributed random variables having finite moments of all orders.

时间序列分析非高斯过程移动平均模型统计推断