Differencing of random walks and near random walks

DOI10.1016/0304-4076(77)90002-1zbMath0371.62121OpenAlexW2087283537MaRDI QIDQ1243566

Harry V. Roberts, Nicholas J. Gonedes

Publication date: 1977

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

Full work available at URL: https://doi.org/10.1016/0304-4076(77)90002-1

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Related Items

The exact multi-period mean-square forecast error for the first-order autoregressive model, Estimation of a non-invertible moving average process: the case of overdifferencing, Predictors for the first-order autoregressive process

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