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Solutions of Yule‐Walker equations for singular AR processes

Author

Listed:
  • Weitian Chen
  • Brian D.O. Anderson
  • Manfred Deistler
  • Alexander Filler

Abstract

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Suggested Citation

  • Weitian Chen & Brian D.O. Anderson & Manfred Deistler & Alexander Filler, 2011. "Solutions of Yule‐Walker equations for singular AR processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(5), pages 531-538, September.
    • Handle: RePEc:bla:jtsera:v:32:y:2011:i:5:p:531-538
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    Cited by:

    1. Bernd Funovits, 2014. "Implications of Stochastic Singularity in Linear Multivariate Rational Expectations Models," Vienna Economics Papers vie1405, University of Vienna, Department of Economics.
    2. Philipp Gersing & Christoph Rust & Manfred Deistler, 2023. "Weak Factors are Everywhere," Papers 2307.10067, arXiv.org, revised Jan 2024.
    3. Anderson, Brian D.O. & Deistler, Manfred & Felsenstein, Elisabeth & Koelbl, Lukas, 2016. "The structure of multivariate AR and ARMA systems: Regular and singular systems; the single and the mixed frequency case," Journal of Econometrics, Elsevier, vol. 192(2), pages 366-373.
    4. Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
    5. Bernd Funovits, 2014. "Implications of Stochastic Singularity in Linear Multivariate Rational Expectations Models," Vienna Economics Papers 1405, University of Vienna, Department of Economics.
    6. Bernd Funovits & Alexander Braumann, 2019. "Identifiability of Structural Singular Vector Autoregressive Models," Papers 1910.04096, arXiv.org, revised Oct 2020.

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