Information loss of extracted series in AR(1) model

MaRDI QIDQ3497555zbMATH OpenFDO

Authors Etsuo Kumagai

Publication date 27 July 2009

Full work available at URL http://www.jams.or.jp/scm/abstract/e-2009/2009-20a.txt

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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