Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
AbstractConditions 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 InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/1987.
Date of creation: 1978
Date of revision:
Publication status: Published in: Journal of Multivariate Analysis (1978) v.8,p.567-572
Other versions of this item:
- Hallin, Marc, 1978. "Mixed autoregressive-moving average multivariate processes with time-dependent coefficients," Journal of Multivariate Analysis, Elsevier, vol. 8(4), pages 567-572, December.
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- 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.
- 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.
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