Canonical Factorization and World Representation of Wide-Sense Stationary Series Under Sampling

This paper establishes - via canonical factorization of the spectral density of a wide-sense stationary series - a general relationship between the parameters of the Wold representation of a discrete-time series and the parameters of its sampled version. As an application, the paper shows that the variance of the innovations of the sampled series is strictly greater than the variance of the innovations of the original series.

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Year of publication:	1993
Authors:	Ermini, Luigi
Institutions:	Department of Economics, University of Hawaii-Manoa
Subject:	sampling \| canonical factorization \| Wold representation

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 199304 7 pages
Classification:	C4 - Econometric and Statistical Methods: Special Topics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005824198