Linear processes: properties and asymptotic results (in Russian)

This essay surveys results for linear time series including Wold decomposition, properties of spectral density functions and lag operators, autoregressive moving average models, Beveridge–Nelson decomposition, and Phillips–Solo device for deriving asymptotics.

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Year of publication:	2012
Authors:	Marmer, Vadim
Published in:	Quantile. - Quantile. - 2012, 10, p. 33-56
Publisher:	Quantile

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010839656