Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
We study the processes for the conditional mean and variance given a specification of the process for the observed time series. We derive general results for the conditional mean of univariate and vector linear processes, and then apply it to various models of interest.
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|Date of creation:||1996|
|Date of revision:|
|Contact details of provider:|| Postal: Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.|
Web page: http://www.cemfi.es/
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