A note on the time series which is the product of two stationary time series

The time series [...,x-1y-1,x0y0,x1y1,...]> which is the product of two stationary time series xt and yt is studied. Such sequences arise in the study of nonlinear time series, censored time series, amplitude modulated time series, time series with random parameters, and time series with missing observations. The mean and autocovariance function of the product sequence are derived.

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Year of publication:	1978
Authors:	Wecker, William E.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 8.1978, 2, p. 153-157
Publisher:	Elsevier
Subject:	time series product nonlinear

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875361