STATIONARITY CONDITION FOR AR INDEX PROCESS

DOI10.1017/S0266466606060075MaRDI QIDQ3377441zbMATHFDO

Authors Eric Iksoon Im, David L. Hammes, Douglas T. Wills

Publication date 22 March 2006

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Eigenvalues, singular values, and eigenvectors (15A18)

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Cited in

(1)

• On the convexity of the autocorrelation function of an AR(p) process

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