Discounted polynomials for multiple time series model building

DOI10.1093/BIOMET/69.1.107MaRDI QIDQ3949843zbMATH OpenOpenAlexFDO

Authors Helmut Lütkepohl

Publication date 1982

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/69.1.107

zbMATH Keywords

autoregressive processdiscounted polynomialsmodel specificationmodified polynomial lag modelsmultiple time series model buildingpolynomial approximationstationary stochastic process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(1)

• Econometric tests of rationality and market efficiency

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