On moving-average models with feedback

Dong Li; Shiqing Ling; Howell Tong

doi:10.3150/11-BEJ352

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Home > Journals > Bernoulli > Volume 18 > Issue 2 > Article

May 2012 On moving-average models with feedback

Dong Li, Shiqing Ling, Howell Tong

Bernoulli 18(2): 735-745 (May 2012). DOI: 10.3150/11-BEJ352

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Abstract

Moving average models, linear or nonlinear, are characterized by their short memory. This paper shows that, in the presence of feedback in the dynamics, the above characteristic can disappear.