Strongly Harmonizable ARMA SalphaS Models

Document Type : Regular Paper

Author

Dept. of Stat., College of Sciences, Shiraz Univ., Shiraz, Iran

Abstract

It is well known that no strongly harmonizable S S process assumes classical ARMA representation with respect to a SalphaS noise sequence with independent values. In this article we introduce certain strongly harmonizable ARMA SalphaS models, in which the noise sequences have orthogonal values in certain Hilbert spaces. Our study on strongly harmonizable ARMA SalphaS models involves parameter estimation, simulation, moving average representation, regularity and prediction. We generate the corresponding noise

series, that appear to be challenging and interesting.

Keywords

Main Subjects