NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION

DOI10.1111/J.1467-9892.1995.TB00253.XzbMATH Open0837.62065OpenAlexW1964528043MaRDI QIDQ4864577FDOQ4864577

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

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

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)

Cites Work

• Stability of Markovian processes I: criteria for discrete-time Chains
• Invariance principles for dependent variables
• An almost sure invariance principle for stationary ergodic sequences of Banach space valued random variables
• Title not available (Why is that?)
• Functions of Brownian Motion
• Some generalizations on the algebra of I(1) processes

Cited In (13)

• 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 unit roots in the context of misspecified logarithmic random walks.
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• On the sensitivity of unit root inference to nonlinear data transformations
• Sums of exponentials of random walks with drift
• Properties of nonlinear transformations of fractionally integrated processes.
• On the memory of products of long range dependent time series
• 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

This page was built for publication: NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4864577)