NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION

DOI10.1111/J.1467-9892.1995.TB00253.XMaRDI QIDQ4864577zbMATH OpenOpenAlexFDO

Authors Valentina Corradi

Publication date 20 May 1996

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1995.tb00253.x

zbMATH Keywords

strong mixingcointegrationmartingalesrandom walkssubmartingalesMarkov propertylong memory processesDoob decompositionshort memory processesunit root component

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)

Recommendations

• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Properties of nonlinear transformations of fractionally integrated processes.
• Some generalizations on the algebra of I(1) processes
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

Cites work

• scientific article; zbMATH DE number 4189431 (Why is no real title available?)
• An almost sure invariance principle for stationary ergodic sequences of Banach space valued random variables
• Functions of Brownian Motion
• Invariance principles for dependent variables
• Some generalizations on the algebra of I(1) processes
• Stability of Markovian processes I: criteria for discrete-time Chains

Cited in

(14)

• Some generalizations on the algebra of I(1) processes
• On data transformations and evidence of nonlinearity.
• ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
• Common large innovations across nonlinear time series
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• Testing for unit roots in the context of misspecified logarithmic random walks.
• On the sensitivity of unit root inference to nonlinear data transformations
• Properties of nonlinear transformations of fractionally integrated processes.
• On the memory of products of long range dependent time series
• Sums of exponentials of random walks with drift
• Long-memory property of nonlinear transformations of break processes
• The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
• Memory properties of transformations of linear processes

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