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Mixed autoregressive-moving average multivariate processes with time-dependent coefficients

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  • Marc Hallin

Abstract

Conditions for mixed autoregressive-moving average processes with time-dependent coefficients to be purely nondeterministic and invertible can be obtained from classical difference equations theory. These conditions involve one-sided Green's functions or their matricial equivalents. A recursive computation of these functions is proposed, which allows one to drop the assumption of nondegeneracy classicaly made about the highest order matrix of difference operators; it constitutes thus a generalized definition of these functions.

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Bibliographic Info

Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/1987.

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Date of creation: 1978
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Publication status: Published in: Journal of Multivariate Analysis (1978) v.8,p.567-572
Handle: RePEc:ulb:ulbeco:2013/1987

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Cited by:
  1. Jan Beran, 2007. "On parameter estimation for locally stationary long-memory processes," CoFE Discussion Paper 07-13, Center of Finance and Econometrics, University of Konstanz.
  2. Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series /2007/520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  3. Dahlhaus, R., 1996. "On the Kullback-Leibler information divergence of locally stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 139-168, March.

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