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Canonical Factorization and World Representation of Wide-Sense Stationary Series Under Sampling

Author

Listed:
  • Luigi Ermini

Abstract

This paper establishes - via canonical factorization of the spectral density of a wide-sense stationary series - a general relationship between the parameters of the Wold representation of a discrete-time series and the parameters of its sampled version. As an application, the paper shows that the variance of the innovations of the sampled series is strictly greater than the variance of the innovations of the original series.

Suggested Citation

  • Luigi Ermini, 1993. "Canonical Factorization and World Representation of Wide-Sense Stationary Series Under Sampling," Working Papers 199304, University of Hawaii at Manoa, Department of Economics.
    • Handle: RePEc:hai:wpaper:199304
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    File URL: http://www.economics.hawaii.edu/research/workingpapers/88-98/WP_93-4.pdf
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    More about this item

    Keywords

    sampling; canonical factorization; Wold representation;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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