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M-dependent stationary process

  1. Jan 26, 2007 #1
    [SOLVED] m-dependent stationary process

    Hi all

    Could you tell me a strict mathematical definition of "m-dependent stationary process" or maybe a link to where I could find it

    Thanks In Advance
     
  2. jcsd
  3. Jan 26, 2007 #2

    EnumaElish

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    Amazon link.
     
    Last edited: Jan 26, 2007
  4. Jan 26, 2007 #3
    Thank you very much
     
  5. Jan 26, 2007 #4
    And may be you know what is the dependence between m-dependent stationary process (where m=q) and ARMA(0,q) process???
     
  6. Jan 26, 2007 #5

    EnumaElish

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    Loosely, ARMA(0,q) = AR(0) + MA(q) = MA(q) which is [itex]X_t = \epsilon_t + \sum_{i=1}^m \theta_i \epsilon_{t-i}[/itex] (since q = m). See this link. You should be able to work out what this implies for m-dep. stat. process. (Hint: are Xt and Xs dependent or independent when t - s > m?)
     
    Last edited: Jan 26, 2007
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