NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION (Q4864577)

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scientific article; zbMATH DE number 846063
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NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
scientific article; zbMATH DE number 846063

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    NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION (English)
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    20 May 1996
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    cointegration
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    Doob decomposition
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    Markov property
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    submartingales
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    strong mixing
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    short memory processes
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    martingales
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    random walks
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    long memory processes
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    unit root component
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