Conditional Means of Time Series Processes and Time Series Processes for Conditional Means.

We study the processes for the conditional mean and variance given a specification of the process for the observed time series. We derive general results for the conditional mean of univariate and vector linear processes, and then apply it to various models of interest.

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Year of publication:	1996
Authors:	Fiorentini, G ; Sentana, E
Institutions:	Centro de Estudios Monetarios y Financieros (CEMFI)
Subject:	STATISTICS

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Series:	Centro de Estudios Monetarios Y Financieros-.
Type of publication:	Book / Working Paper
Notes:	39 pages
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005625761