A note on the Berman condition

Details A note on the Berman condition A note on the Berman condition

2010-03-14

arxiv.org/abs/1003.2831v1

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Scientific paper

It is established that if a time series satisfies the Berman condition, and another related (summability) condition, the result of filtering that series through a certain type of filter also satisfies the two conditions. In particular it follows that if $X_t$ satisfies the two conditions and if $X_t$ and $a_t$ are related by an invertible ARMA model, then the $a_t$ satisfy the two conditions.

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