Abstrakt
Random processes with convenient properties are employed to model observed data, particularly, coming from economy and finance. We will focus our interest in random processes given implicitly as a solution of a functional equation.
For example, random processes MA, AR, ARMA, ARCH, GARCH are belonging in this wide class. Their common feature can be expressed by requirement that stated random process together with incoming innovations must fulfill a functional equation.
Functional dependence is linear for MA, AR, ARMA. We consider a general functional dependence, but, existence of a forward and a backward equivalent rewritings of the given functional equation is required.
We present a concept of solution construction giving uniqueness of assigned solution. The procedure works as a symbolic solution.
I present in my contribution the class of implicit models where forward and backward rewritings are possible. Three illustrative examples are included.