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On the approximation of continuous time threshold ARMA processes

✍ Scribed by P. J. Brockwell; O. Stramer

Publisher
Springer Japan
Year
1995
Tongue
English
Weight
930 KB
Volume
47
Category
Article
ISSN
0020-3157

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## Abstract A mean square error criterion is proposed in this paper to provide a systematic approach to approximate a long‐memory time series by a short‐memory ARMA(1, 1) process. Analytic expressions are derived to assess the effect of such an approximation. These results are established not only