EMIS ELibM Electronic Journals Publications de l'Institut Mathématique, Nouvelle Série
Vol. 95[109], pp. 149–159 (2014)

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STOCHASTIC ANALYSIS OF GSB PROCESS

Vladica Stojanovic, Biljana Popovic, Predrag Popovic

Department of Mathematics, Faculty of Sciences and Mathematics, University of Pristina (in K. Mitrovica), Serbia; Department of Mathematics, Faculty of Sciences and Mathematics, University of Nis, Serbia; Department of Mathematics, Faculty of Civil Engineering and Architecture, University of Nis, Serbia

Abstract: We present a modification (and partly a generalization) of STOPBREAK process, which is the stochastic model of time series with permanent, emphatic fluctuations. The threshold regime of the process is obtained by using, so called, noise indicator. Now, the model, named the General Split-BREAK (GSB) process, is investigated in terms of its basic stochastic properties. We analyze some necessary and sufficient conditions of the existence of stationary GSB process, and we describe its correlation structure. Also, we define the sequence of the increments of the GSB process, named Split-MA process. Besides the standard investigation of stochastic properties of this process, we also give the conditions of its invertibility.

Keywords: GSB process, STOPBREAK process, noise-indicator, split-MA process, stationarity, invertibility

Classification (MSC2000): 62M10

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Electronic fulltext finalized on: 31 Mar 2014. This page was last modified: 2 Apr 2014.

© 2014 Mathematical Institute of the Serbian Academy of Science and Arts
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