NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION (Q4864577)
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scientific article; zbMATH DE number 846063
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| English | NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION |
scientific article; zbMATH DE number 846063 |
Statements
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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0.8691986203193665
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0.8352018594741821
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0.7949560880661011
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0.7896460890769958
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