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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 16, Fasc. 2,
pages 311 - 336
 

DISTRIBUTION PROCESSES OF THE FRACTIONAL ARMA TYPE, MIXING PROPERTIES

L. Bel
G. Oppenheim
L. Robbiano
M. C. Viano

Abstract: In this paper we firstly study f, the inverse Laplace transform of F (s) =  prod K (s- a )dk.
        k=1     k The distribution f is then used to define a family of linear distribution processes. This family generalizes the so-called fractional ARMA processes       integral t
Xt =  - oo  f(t- s)dWs  which were introduced by Viano et al. [14] in the case of square integrable f. Using previous results [1] we describe the regularity properties of the distribution process associated with F. Finally, we give a definition of the mixing coefficients suitable for distribution processes, and we obtain conditions on the parameters with F needed for fractional ARMA distribution processes to be mixing.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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