On the structure of moving average processes

DOI10.1016/0304-4076(77)90058-6zbMath0357.62071OpenAlexW2031440429MaRDI QIDQ1238200

William J. Wrobleski, Craig F. Ansley, W. Allen Spivey

Publication date: 1977

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2027.42/22881

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (13)

Forecasting semi-stationary processes and statistical arbitrage ⋮ THE SUM OF FINITE MOVING AVERAGE PROCESSES ⋮ A method to get a more stationary process and its application in finance with high-frequency data of Chinese index futures ⋮ First‐Order Autoregressive Processes with Heterogeneous Persistence ⋮ Large sample estimation and testing procedures for dynamic equation systems ⋮ Dynamic deconvolution and identification of independent autoregressive sources ⋮ Comment to: Large sample estimation and testing procedures for dynamic equation systems ⋮ An inequality and a lemma revisited ⋮ Linear transformations of vector ARMA processes ⋮ Inference in dynamic models containing 'surprise' variables ⋮ Two-step two-stage least squares estimation in models with rational expectations ⋮ DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA ⋮ The Co-Integrated Vector Autoregression with Errors–in–Variables

Cites Work

• O a lemma associated with Box, Jenkins and Granger
• Time series analysis and simultaneous equation econometric models
• An Approach to Time Series Analysis
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