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Spectral Properties of Stationary Models
[Spektrální vlastnosti stacionárních modelů]

Author

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  • Luboš Marek

Abstract

The content of this paper is characterization the spectral properties of stationary models - namely autoregression model AR(p), model of moving averages MA(q) and mixed models ARMA(p,q). There is the clear relationship between spectral density and autocorrelation function of these stationary models. The spectrum has the typical shape for different models. This shape depends on sign of parameters. On other side, from shape of spectrum we cannot derive the accurate type of model, because the different models have the similar shape of spectrum. But the shape of spectrum is very important complementary information that can through many things prompt.

Suggested Citation

  • Luboš Marek, 2007. "Spectral Properties of Stationary Models [Spektrální vlastnosti stacionárních modelů]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2007(1), pages 63-70.
    • Handle: RePEc:prg:jnlaop:v:2007:y:2007:i:1:id:39:p:63-70
    DOI: 10.18267/j.aop.39
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    More about this item

    Keywords

    stationary models; spectral density; spectrum;
    All these keywords.

    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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