59
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Probabilistic Properties of Parametric Dual and Inverse Time Series Models Generated by ARMA Models

Pages 4651-4661 | Received 04 Oct 2013, Accepted 21 Jan 2014, Published online: 11 Nov 2015

References

  • Aggarwal, G., Chowdhury, A. K.R., Chellappa, R. (2004). A system identification approach for video-based face recognition. Proceedings of the 17th International Conference on Pattern Recognition, ICPR 2004, 4, 175–178.
  • Battaglia, F. (1983). Inverse autocovariances and a measure of linear determinism for a stationary process. J. Time Series Anal. 4:79–87.
  • Bhansali, R.J. (1980). Autoregressive and window estimates of the inverse correlation function. Biometrika 67:551–566.
  • Bhansali, R.J., Ippoliti, L. (2005). Inverse correlations for multiple time series and Gaussian random fields and measures of their linear determinism. J. Math. Stat. 1(4): 287–299.
  • Breidt, F.J., Davis, R.A. (1991). Time-reversibility, identifiability and independence of innovations for stationary time series. J. Time Series Anal. 13:377–390.
  • Breidt, F.J., Davis, R.A., Trindade, A. (2001). Least absolute deviation estimation for all-pass time series models. Annals Stat. 29:919–946.
  • Brockwell, P.J., Davis, R.A. (1991). Time Series: Theory and Methods. New York: Springer-Verlag.
  • Cheng, Q. (1999). On time-reversibility of linear processes. Biometrika 88:298–307.
  • Cleveland, W.S. (1972). The inverse autocorrelations of a time series and their applications. Technometrics 14:277–298.
  • El Ghini, A., Francq, C. (2006). Asymptotic relative efficiency of goodness-of-fit tests based on inverse and ordinary autocorrelations. J. Time Series Anal. 27:843–855.
  • Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50(4): 987–1007.
  • Francq, C., Zakoïan, J.-M. (2004). Recent results for linear time series models with non independent innovations. In: Duchesne, P., Rémillard, B., eds. Statistical Modeling and Analysis for Complex Data Problems (pp. 137–161, Chap. 12). Dordrecht, Holland: Kluwer.
  • Francq, C., Roy, R., Zakoïan, J.-M. (2005). Diagnostic checking in ARMA models with uncorrelated errors. J. Am. Stat. Assoc. 100:532–544.
  • Granger, C.W.J., Anderson, A.P. (1978). Introduction to Bilinear Time Series Models. Gottinger: Vandenhoek and Ruprecht.
  • Grenander, U., Rosenblatt, M. (1957). Statistical Analysis of Stationary Time Series. New York: Wiley.
  • Hannan, E.J. (1970). Multiple Time Series. New York: Wiley.
  • Lang, S. (2003). Complex analysis, Vol. 103. New York: Springer-Verlag.
  • McLeod, A.I. (1984). Duality and other properties of multiplicative seasonal autoregressive-moving average models. Biometrika 71:207–211.
  • Ramsey, J.B., Rothman, P. (1996). Time irreversibility and Business cycle asymmetry. J. Money, Credit Banking 28(1): 1–21.
  • Peńa, D., Maravall, A. (1991). Interpolations, outliers and inverse autocorrelations. Commun. Stat.- Theory Methods 20(10): 3175–3186.
  • Veeraraghavan, A., Roy-Chowdhury, A., Chellappa, R. (2005). Matching shape sequences in video with applications in human movement analysis. IEEE Trans. Pattern Anal. Machine Intelligence 27(12): 1896–1909.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.