A Note on Non-negative Arma Processes
نویسندگان
چکیده
Recently, there are much works on developing models suitable for analyzing the volatility of a discrete-time process. Within the framework of Auto-Regressive Moving-Average (ARMA) processes, we derive a necessary and sufficient condition for the kernel to be non-negative. This condition is in terms of the generating function of the ARMA kernel which has a simple form. We discuss some useful consequences of this result and delineate the parametric region of stationarity and non-negative kernel for some lower-order ARMA models.
منابع مشابه
A NOTE ON NON-NEGATIVE ARMA PROCESSES By Henghsiu Tsai and K. S. Chan
Recently, there has been much research on developing models suitable for analysing the volatility of a discrete-time process. Since the volatility process, like many others, is necessarily non-negative, there is a need to construct models for stationary processes which are non-negative with probability one. Such models can be obtained by driving autoregressive moving average (ARMA) processes wi...
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