IDEAS home Printed from https://ideas.repec.org/a/adr/anecst/y1987i8p135-159.html
   My bibliography  Save this article

Une approche géométrique des processus ARMA

Author

Listed:
  • Christian Gouriéroux

Abstract

A number of interesting properties of stationary processes, in particular Wold decomposition, can be derived using a geometrical approach. In this paper we introduce the notions of recent past and old past by means of well chosen vector spaces. A geometrical study of these spaces and of their correlation allows the derivation of several classical characterizations of the orders p and q of an ARMA process.

Suggested Citation

  • Christian Gouriéroux, 1987. "Une approche géométrique des processus ARMA," Annals of Economics and Statistics, GENES, issue 8, pages 135-159.
  • Handle: RePEc:adr:anecst:y:1987:i:8:p:135-159
    as

    Download full text from publisher

    File URL: http://www.jstor.org/stable/20075674
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:adr:anecst:y:1987:i:8:p:135-159. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Secretariat General or Laurent Linnemer (email available below). General contact details of provider: https://edirc.repec.org/data/ensaefr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.